The Gunners are said to have undertaken secret conversations about signing Perdo Neto.
The North Londoners are attempting to strike a deal for Wolves winger Neto, but the Portuguese international will not be held hostage.
Arsenal values the Wolves player at £35 million, while the Molineux club wants £50 million.
All summer, manager Mikel Arteta has been looking for a replacement for Nicolas Pepe and has highlighted Neto as a possible signing.
Youri Tielemans is said to be the club’s top transfer priority as they attempt to bring in a central midfielder, but the Foxes want to keep the Belgian international, whose representation is open to letting the final year of his deal run down.
However, Lyon’s Lucas Paqueta is also on Edu’s wishlist and could come into the Gunners’ thinking if they fail to land Tielemans before the window slams shut.
IN: Marquinhos, Fabio Vieira, Matt Turner, Jesus, Oleksandr Zinchencko
OUT: Alexandre Lacazette (released), Nuno Tavares (loan to Marseille)