Arsenal have been linked with a string of players including Barcelona forward David Villa, and have seen their attacking options hit by the African Nations Cup, as forward Gervinho is away with the Ivory Coast.
Wenger, though, maintains he is not about to go out and buy someone this month just for the sake of it.
He said: "If you look at our squad, it's quite complete. We still work on the transfer market as well.
"However, we do not want to bring in average. We only want to bring in an exceptional player. At the moment we have not found him."