The 61-year-old approached the French side over a possible loan move for the Argentina international after the departure of Cesc Fabregas to Barcelona.
Despite the Frenchman's advances, Marseille refused to allow the playmaker to move to the Emirates on a temporary deal.
"Lucho was a player I liked," said Wenger.
"They didn't want to give him out on loan. We didn't go as far as discussing a permanent move."
The two sides go head to head in the Champions League group fixture tonight.