The Gunners missed out on signing Lemar in the off-season after the striker rejected a £92m switch, although reports claim the north London club will return for his services this month.
Arsenal have also been linked with centre-back Luiz, who has fallen out-of-favour at Chelsea and is thought to be keen on a move away from Stamford Bridge this month.
However, Wenger has been quick to play down any such moves, saying: "I don't want to speak about any special name but these reports are wrong.
The Frenchman also revealed the club have not received any January bids for Alexis Sanchez or Mesut Ozil, adding: "We have not been contacted by anybody.”
When asked how the Gunners would deal with the potential loss of star players, Wenger replied: "First of all we have not lost them yet, and secondly we will respond to that by bringing in players of top quality."