The Gunners have recently been linked with a move for Newcastle United midfielder Yohan Cabaye amid pressure from fans to add to their squad.
When asked if Arsenal were likely to dip into the transfer market in the coming days, Wenger told the club's official website: "It's possible. Honestly, I'm not the only one that can decide that because the clubs who sell the players [are involved too].
"We are on the market, you know that. I know you expect news from us. We will try to give you some but, at the moment, nothing to announce."
Arsenal picked up their first win of the Premier League season on Saturday with a 3-1 victory over Fulham at Craven Cottage.