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.
A goal apiece from James Tomkins and Luka Milivojevic handed Crystal Palace a crucial 2-0 win over Huddersfield at the John Smith's Stadium on Saturday evening.
Manchester United bounced back from their Champions League exit as they beat Brighton 2-0 at Old Trafford on Saturday night to reach the FA Cup semi-finals.
Tottenham reached the FA Cup semi-finals after they cruised to a 3-0 victory over Swansea in their quarter-final clash at the Liberty Stadium on Saturday.
Premier League basement club West Brom squandered the lead as they suffered a 2-1 defeat to Bournemouth at the Vitality Stadium on Saturday.
Chesterfield boss Jack Lester felt his side were unlucky not to claim all three points after their 1-1 draw at Cheltenham.
New Swindon manager Phil Brown revelled in his side's victory at Cambridge in his first game in charge.