The admission comes after Goal.com exclusively revealed earlier this week that both Arsenal and Manchester United were set to hold talks with the Championship side regarding a deal to sign the much-coveted youngster.
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Crystal Palace have insisted throughout the window that Zaha must be loaned back to the club for the remainder of the season if his sale is to be sanctioned during January - but Wenger has insisted that the Gunners are yet to firm up their interest with an official offer.
"We are looking at him, but at the moment we have had no bid," Wenger told reporters.
The attacker, who is thought to command a fee of around £12 million, has scored five goals in 26 league appearances this season, while he also made his senior international debut for England as a substitute in the 4-2 November friendly defeat to Sweden.
Wenger's only previous mention of Zaha was a loose confirmation of interest at a media briefing in November, saying: "We are looking at every player who could strengthen our squad - but he is not more on the list than anyone else."