Wenger is keen to bolster his defensive options with William Gallas, Sol Campbell and Mikael Silvestre all out of contract later this month.
Koscielny is Arsenal's top target to replace Gallas after the Frenchman rejected the club's offer of a new deal at Emirates Stadium.
Lorient are believed to have rejected a couple of offers for Koscielny, but the 24-year-old is hoping the club will agree to let him make the move to North London.
Wenger admits Arsenal are still working on thrashing out a deal for the highly-rated 24-year-old.
"There has been an approach for Koscielny and there still is one," Wenger told The Sun.
Wenger also revealed France may have been wrong to gamble on Gallas' fitness at the World Cup.
Gallas struggled with a series of injuries last season and he has looked out of sorts as France have struggled badly in South Africa.
Wenger is unsure if doubts over his future have affected Gallas' performances, but feels he may have rushed back from injury too quickly to make the World Cup.
"I don't know if Gallas has been perturbed by his departure from Arsenal," added Wenger. "I knew he wouldn't be at 100 per cent for this tournament. The question for the manager is to know if he should have called up Gallas while knowing he's not 100 per cent.
"He's played 35 minutes in four months before here.
"It's not enough to get into a competition like this. When you don't know where you are physically, a player is always fragile.
"Wiliam is a boy with great will, he's a winner. But he wants to do well so badly that sometimes he puts a lot of pressure on himself."