Zaha is expected to join Manchester United before the close of the transfer window - although Palace insist no deal has been struck.
"If Zaha goes to Man Utd, good luck to him. We were never in for him. Never," said Wenger.
Wenger admits the club are working hard on bringing in some reinforcements this month, but he refused to divulge any transfer targets.
"I will not give you any names. We are working very hard," added Wenger.