Borussia Dortmund striker Lewandowski ended the saga around his future by signing a pre-contract with European champions Bayern at the weekend.
He will officially join Bayern in the summer on a five-year deal, rejecting overtures from a plethora of clubs, including many from the Premier League.
But Wenger insists that every club knew he was Bayern-bound last year.
"Yes, we looked into Lewandowski, but honestly he signed for Bayern one and a half years ago, everyone knows that," he is quoted as saying by the Daily Mail.
"They can only make it official now because he is in the last six months of his contract.
"We are like everyone, we look out there and see what is happening. If an opportunity turns up, you know as well that all the big players are at big clubs at the moment and they go for important targets.
"Unless you have a club in a desperate financial situation it will be difficult.
"If we find someone like Serge Gnabry at that age when no-one knows them, then maybe. But I just said many times we don't rule anything out."
Arsenal have been linked with current Bayern striker Mario Mandzukic, and Wenger refused to rule out a move for the Croatia international.
"Lewandowski is at Dortmund until the end of the season and they will not sell Mandzukic now - maybe at the end of the season," he said.