Manchester United admit they are pursuing the 20-year-old, with some reports suggesting that the Barclays Premier League leaders are close to agreeing a £15million deal for the England international. Arsenal were also reported to be interested in Zaha, but the Gunners boss insisted that was never the case.
"We were never in for Zaha," Wenger told a press conference on Tuesday morning. "I don't know if he will go to Man United. If he goes to Man United, good luck to him."
Wenger, who lost Robin van Persie to United last summer, knows his side are incapable of catching the Red Devils, who top the table with 56 points, some 22 ahead of the north London club, who used to be their main challengers for the title.
Indeed Arsenal are seven points off fourth place, although they have a chance to shorten that gap if they beat West Ham.
Wenger, who has guided his team to 15 consecutive top-four finishes, admits he is concerned at his team's plight.
"What is worrying is just that we do not win the big games," said Wenger, who watched his team lose 2-1 at Chelsea on Sunday. "At the moment we do not get the results we want. The difference in points mathematically is not dramatic, but the consistency of our performances within games is what is worrying."
Wenger confirmed he intends to boost his squad with two new signings before the transfer window shuts, and professed his admiration for West Ham midfielder Mohamed Diame. The Frenchman refused, however, to reveal whether he was interested in signing France midfielder Yoann Gourcuff.
"I don't give you any names. I don't come out on [rumours Lyon have offered him to Arsenal] because it would put Lyon in a bad position," Wenger said.
"You have to respect the player as well has a contract somewhere, is playing and, as long as the transfer is not done, for anybody it is best not to talk about it because it doesn't work. He has to continue to play there where he is."