Arsenal are in the market for a new forward despite signing Henrikh Mkhitaryan from Manchester United.
Borussia Dortmund hitman Aubameyang has emerged as their main target, with the Gabon international likely to leave the club this month.
Reports have claimed the 28-year-old has already agreed a deal to move to Arsenal.
But Wenger, speaking ahead of his side’s EFL Cup clash against Chelsea, has insisted that is not the case.
“Confident or not confident, I don’t know,” he said.
“We are not close to a deal for Aubameyang with Dortmund or anybody else.
“He is one of our possible movements but there are others”