But Wenger insists there is no truth in claims the 23-year-old could be on his way to Emirates Stadium and has also ruled out a move for Real Madrid's Alvaro Morata.
"A bid for Belotti? That is what you call fake news these days," the Frenchman said at a news conference, utilising a phrase used by United States president-elect Trump to fend off a number of allegations this week.
"Morata? We have [Danny] Welbeck coming back, we have [Alexis] Sanchez, [Olivier] Giroud, we have [Lucas] Perez, Chuba Akpom is coming back. We have a lot of options."
Wenger did have some outgoing transfer news, however, revealing that Carl Jenkinson is set to leave the club for Crystal Palace.
"Jenkinson could move in the next two or three days. Palace? You look well informed," the Arsenal boss added.
"It is possible this could be done shortly. But there is no final conclusion yet.
"We will not sign a replacement, we have [Hector] Bellerin, [Mathieu] Debuchy and Gabriel who can play there."