Reports have claimed that the Gunners have launched a £10million bid for the Atletico Madrid star but Wenger has refused to comment on the speculation and would rather focus on the players already at his disposal.
One of which is Walcott, who has yet to pen a new deal with the club and could leave on a free transfer at the end of the season.
"First of all we have to make sure the players who are here stay here, after, we look outside," he said. "Let's first try to finalise with Theo Walcott and after if we need something else we will go somewhere else, but our first priority is that.
"The most important players for us are those who are here. Those who are on the transfer market will not help us win the games."
Meanwhile, Wenger also believes Walcott is not motivated totally by money and is still hopeful of securing his future.
"I only speak for our side, and my side is that we want him to stay here," he added. "Of course I don't want to speak much more about that situation because it can be misinterpreted and I don't think he is only interested by money. I don't believe that."