Paris Saint-Germain are aiming to secure the Italian coach's services for next season, but according to Calciomercato, he has his sights set on the Gunners.
Ancelotti has been out of work since parting ways with Bayern Munich last September, but has recently been linked with several posts, including the top job with the Italy national team.
Reports suggest that the coach's former club Chelsea are also keeping tabs on him.
Current Arsenal manager Wenger has come under pressure to step down at the end of the season after the Gunners slipped to 13 points away from the Champions League positions in the English top flight.
The Frenchman, however, eased some of the pressure by guiding the Gunners to an impressive 2-0 win away to AC Milan in the Europa League in midweek.