Speculation that United are poised to sign Crystal Palace's exciting 20-year-old winger, who is valued at a reported £15million, has intensified in recent days.
Zaha, who made his England debut last November, is regarded as the most exciting talent in the country outside the Barclays Premier League.
Zaha revealed in a tweet last year he is an Arsenal fan but, despite reported interest in the player, Wenger insists a move to the Emirates Stadium was never a possibility.
Wenger, at a press conference to preview his side's midweek clash with West Ham, said: "We were never in for Zaha.
"I don't know if he will go to Man United. If he goes to Man United, good luck to him."
There have been reports that United have held discussions with Palace and that further talks between the clubs are planned.
It has also been suggested that United could sign the player and then loan him back to the promotion-chasing Championship club for the remainder of the season.
Neither club have commented on the reports.
Zaha has come through the youth system at Palace after joining the club at the age of 12.
His progress has attracted interest from a number of clubs and was underlined by his selection for England's friendly against Sweden two months ago, although he remains eligible for birth country Ivory Coast.
United's squad, meanwhile, are preparing for this weekend's FA Cup fourth-round tie against Fulham at a warm-weather training camp in Qatar.
Manager Sir Alex Ferguson has not travelled with the party but the players are hoping to put Sunday's league setback against Tottenham behind them.
United conceded an injury-time equaliser at White Hart Lane that meant, over the course of the weekend, their lead at the top of the table was cut to five points.
Defender Phil Jones said: "Confidence is high but we know we still have to produce and do our job every time we step out on the pitch.
"As long as we're focused on what we've got to do and on our game-plan hopefully, we'll be okay."
The squad's attention has now turned back to the FA Cup and the visit of the Cottagers, which will see striker Dimitar Berbatov back at Old Trafford for the first time since leaving.
Berbatov, signed by United for £30million in 2008, left United for the London club in August.
Jones said: "The FA Cup is a great competition and one we want to win. We want to go as far as we can - it's a competition I've always admired.
"It'll be great to see Berba back at Old Trafford, technically he's a fantastic player.
"Hopefully we can get the result we want and continue to progress in the competition."
United have defended their ticket pricing policy for the match following a complaint by Fulham.
Fulham were unhappy to discover that some United fans have been able to purchase seats equivalent to those on offer to their supporters £5 cheaper.
As is common practice for FA Cup games, the clubs had agreed a standard price of £45 for home and away fans but United members have been able to buy them at a discounted rate of £40.
United say that is an offer available only to members, and is part of a long-standing scheme that should not have come as a surprise.
Fulham claim they were not informed about it and it is understood they would not have agreed to it had they known.
A United spokesman said: "Fulham fans are paying the same as United fans who are not members.
"A discount scheme has existed for members for around 20 years.
"We're surprised it has come as a surprise to them."
The Football Association has received a complaint from Fulham and is understand to have written to United for an explanation.