The Gunners were reportedly in the race to sign the Northern Ireland international, along with Manchester City.
However, Evans, who spent nine years at Manchester United, ended up staying put at The Hawthorns, where he has been since 2015.
When asked by BT Sport about the failed attempt to sign the defender, Wenger replied: "I said many times that we did what we wanted to do but not all that we wanted to do. He was not available for what we could afford."
The North London outfit lost Alexis Sanchez in the January window, but they gained Henrikh Mkhitaryan in a swap deal with Manchester United, and recruited Pierre-Emerick Aubameyang from Borussia Dortmund.