Earlier this month, the French coach confirmed that he will stand down at the end of the season after almost 22 years in charge at the club.
The Gunners go up against old rivals Manchester United on Sunday, with Wenger heading to Old Trafford for the final time as manager.
Lacazette is urging all his teammates to put in a good display against Jose Mourinho's side as prospective candidates for the Gunners job will be watching the game.
"We want to keep going and be good because we know that a new manager is coming," the striker told Sky Sports News.
"Maybe everything will change. We don't know if everyone can stay in the club."
Lacazette, who arrived from Lyon in 2017, has impressed with seven goals in his last seven games after returning from a six-week injury layoff.