The Eagles are determined to keep Zaha, 25, at Selhurst Park but are braced for interest in the Ivory Coast forward.
He agreed a fresh five-year deal in the summer but interest in him has remained.
Zaha left Palace to join Manchester United in 2013 but rejoined them two years later after two loan spells at the south London club.
The German star has scored two goals and has made two assists in nine appearances in Ligue 1 this term, while Draxler has made one assist in four Champions League games.
Arsenal may face competition for Zaha from rivals Tottenham, whose manager Mauricio Pochettino is understood to be an admirer of the winger.
Wenger was hoping to bring in Monaco wideman Thomas Lemar late in the summer transfer window, only for a deal to fall flat, but The Sun claims that the Frenchman will now go after a player closer to home.
The Gunners may look to cash in during the January transfer window in order to recoup some of the £31.7m they paid Barcelona for him.
"We used to have a philosophy at Arsenal: If you don't want to be at the club, then bye-bye, we shake your hand, get people that do, whatever money", he was quoted as saying by Manchester Evening News.
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