Lehmann has not played for the Gunners since August after failing to reclaim the No.1 spot from Manuel Almunia.
The Wolves' coach Magath publicly rejected a move for Lehmann a few weeks ago, but when asked at the weekend whether he would be on the phone to Arsenal, he told Bild: "I wouldn't discount anything out of hand."
He added: "I have always stood by him (Jentzsch), but he hasn't been able to stabilise his form.
"Now I'm trying to help Simon in a different way. It will be interesting to see how he and Lenz react up until the winter break."