"Fix your target, be on alert and do it when it’s possible."
Wenger is a fan of Depay, but he was not a target for the Gunners.
"I like the player but he plays in a position where we have plenty in abundance," Wenger added.
"He plays wide and we have eight players who can play wide in two positions."
Arsenal are likely to still be without Mikel Arteta (ankle), Alex Oxlade-Chamberlain (groin) and Mathieu Debuchy (hamstring) for Monday’s visit of Swansea, who beat the Gunners 2-1 in south Wales in November.
Danny Welbeck (knee) is likely to miss out and Aaron Ramsey is a major doubt.