Calciomercato.com says Arsenal sent scouts to watch the pair in action this week against RB Leipzig in the Europa League.
Koulibaly was the prime target as Wenger desperately seeks to strengthen his defence for the 2018/19 season.
The Gunners boss was heavily criticised for not addressing the club's issues at the back in January and the Senegal international could be the solution.
Wenger is also said to have advised the scout to run the rule over Insigne who is a long-term target of the Arsenal boss.
RBL striker Timo Werner is another on Wenger's radar and scored twice for their 3-1 win.