Speculation that the striker, who left Birmingham at the end of last season, was on Wenger's radar grew after Olivier Giroud was ruled out for up to four months - interest Zigic's agent confirmed.
Wenger quickly dismissed the talk when asked - "Who? No." - but Zigic has maintained an approach was made before Arsenal opted to sign Danny Welbeck for £16 million on deadline day.
"Everything that you saw in the press was true," Zigic told IBTimes. "My agent was talking with Arsenal but they finally opted for another player [Welbeck].
"We talked with them until the last days of the market. I am very happy because Arsenal had me on their list. I would have liked [to join them] but big teams always consider several alternatives."
Zigic is not deterred by the collapse of a move to the Emirates Stadium and insists "several clubs" continue to track him.
"I do not rule anything in the future," he added. "I am still looking options. We're talking to several clubs and I think we will make a decision soon."