Lemar was a major target of Arsenal's during the close season and they reportedly agreed a club-record £90 million deal for the France international on deadline day.
However, according to Wenger, the winger rejected the move to the Emirates Stadium at the last minute, opting to remain in Ligue 1 with Monaco.
The collapse of that deal also reportedly prevented Alexis Sanchez's move to Manchester City from going through.
Wenger has previously suggested that Arsenal have not given up on Lemar, and he remains coy when it comes to his plans for the winter window.
When asked if he was considering another attempt to sign Lemar, Wenger told reporters: "No, at the moment I have a big squad and the problem for me is to keep everyone together until the end of the season.
"In January, I don't know yet."
"Rob I rate highly," he said. "I have shown that in very big games.
"He is ahead of what is a normal central defender at his age. At the top level there are not many who play before 24 [years old].
"He has big experience behind him already. He had a little bit of a lack of confidence at the start of the season but I think he has recovered now."