The Uruguyan international has notched 16 goals in just 17 Serie A appearances so far this season, and has added a further nine in seven domestic and European cup games to take his tally to 25 goals in 24 outings.
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Manchester City assistant Angelo Gregucci has previously revealed the Premier League champions' interest in Cavani, but this marks Wenger's first public acknowledgement of the forward.
"Cavani is a player that I like. What is for sure is that he costs a lot of money," Wenger told reporters.
Wenger also claimed last Friday that Theo Walcott's ongoing contract dispute was heading towards a "happy conclusion", with Goal.com revealing a new four-and-half-year £90,000-a-week deal has been agreed.
And the Arsenal manager stepped up his certainty of a contract extension being signed by the England international on Thursday by adding: "My optimism [regarding Walcott's new deal] is at 99 per cent now."
Reports have suggested that the England international was after a clause in his contract guaranteeing him more chances to play as the central striker, after being used mainly as a winger during his time with Arsenal, but Wenger has denied those claims.