The Gunners were strongly linked with a move for Zaha after watching him on several occasions with Wenger confirming he was keeping tabs on the England international.
Zaha is poised to join Manchester United before the close of the transfer window, but Wenger is adamant he was never interested in the midfielder and is not worried about the prospect of him moving to Old Trafford.
"If Zaha goes to Man Utd, good luck to him. We were never in for him. Never," said Wenger.
Wenger admits the club are working hard on bringing in some reinforcements this month, but he refused to divulge any transfer targets.
"I will not give you any names. We are working very hard," added Wenger.
Wenger did hint at having an interest in West Ham midfielder Mohamed Diame, admitting he rates the former Wigan man highly.
"He has a great presence in the games, I have seen him have a big impact," he said.