Lehmann has been linked with a return to Borussia Dortmund, with the German club 'optimistic' of signing the veteran keeper.
"The door is not closed for Jens, but at the moment we have not reached any agreement," Wenger said. "I do not even believe he has made his mind up.
"When I extended Jens' contract, I opened the door for him that if he does not play and has a chance to play for the European Championship, then I would not stop him from leaving in January.
"On one side you cannot want a player to give 100 per cent every day to be the best and then accept he is not the best, because they do not work together.
"He still thinks he should play, and I respect that.
"What I respect the most is he is a player who comes in and does his job 100% and does not talk too much. That is what he does."