The 26-year-old signed a new four-year deal with the Foxes in August but has since asked to leave the club.
He helped Leicester win the Premier League title in 2015-16 before finishing 12th with them this season.
"Have we made a bid for him? No. Not yet. Not yet means it could happen, it could not happen," said Wenger.
Mahrez joined Leicester from French club Le Havre for a reported £400,000 in 2014 and was voted PFA player of the year in 2016.
"I think he had a huge impact at Leicester when they won the championship, like everybody else," Wenger told Bein Sports.
"It's been a different season this year but it doesn't take anything away from his qualities."
Arsenal manager Arsene Wenger says he is interested in Leicester winger Riyad Mahrez but that no bid has been made for the player.