Clubs from England and abroad have since contacted the Gunners regarding a possible deal for the 21-year-old, with Bolton boss Owen Coyle expressing an interest.
Wenger says Vela would prefer a move to Spain, while the manager is keen to keep the youngster in England.
"There's nothing done at the moment, no," Wenger told Arsenal's official website. "But that could be sorted out Wednesday or Thursday.
He added: "Personally I wish (he would go to a Premier League club) because he's a great player and it will be easier for me to follow his progress but he is attracted by Spanish football because it is his home language.
"But hopefully we can find a good solution for him in England."
Mexico international Vela has spent time on loan at Spanish clubs Salamanca and Osasuna since arriving at Emirates Stadium from native outfit Guadalajara in 2005.