Fresh faces are expected at the Emirates during the January window, with Wenger under pressure to bring in quality additions.
He has acknowledged that a demanding fan base will no longer settle for potential stars of the future, with big names the order of the day.
Holtby would appear to fit the bill, as a full Germany international, and Wenger concedes that the 22-year-old is under consideration.
"The emerging countries to produce players look to be Germany and Spain and they have many good young players," he said.
"When you look at the results of France against Germany at U17 in the last few years, and U16 - 4-0, 4-1 to Germany - that shows the trend will be more in favour of the Germans.
"We have looked at Holtby, and have played against him.
"Our scouts are kept on alert and the quality of the scouting is linked with that."
Arsenal's north London rivals Tottenham are also said to be keen on Holtby, but Schalke insist they have received no approach from any Premier League suitor.
Schalke general manager Horst Heldt told Sky Deutschland: "We have not been receiving anything from any club regarding a winter transfer for Lewis Holtby.
"We have also not been given any information by his agent. I believe Lewis Holtby will be a full part of our squad until the end of the season."