The Gunners are thought to rate the Brazilian highly after a string of impressive performance for Les Girondins following his arrival from Corinthians in January 2016, netting 18 times in all competitions.
Arsenal are thought to view the 20-year-old as a potential replacement for Alexis Sanchez, who is set to leave the Emirates Stadium either in January or when his contract expires in the summer.
However, Wenger has cooled the speculation that the Londoners will be looking to bring in Malcom this month following reports the two clubs had meet to discuss a deal this week.
"Malcom is a good player but nothing is happening. We are not on that case at the moment," said Wenger.
Arsenal are not the only club monitoring Malcom with Manchester United also said to be keen.