Jimenez has been one of the most prolific strikers in the Premier League this season and has led Wolves into the Champions League hunt.
The Mexican forward has netted 13 times and assisted a further six in the league so far this season.
Jimenez has formed a formidable partnership with Wolves teammate Adama Traore - the couple have scored more goals involving each other than any other pairing in the league.
Arsenal are potentially preparing for the departure of one of their two main strikers this summer, with both yet to renew their contracts.
The Portuguese manager expressed his frustration at the club's failure to sign a striker in the January transfer window.
Jimenez would fit the bill at either of the north London clubs and will likely cost significantly more than the £34m Wolves paid Benfica for him.
However, according to ESPN reporter Mark Ogden, Wolves players will find it hard to resist moves to big clubs because "you have to take a big opportunity when it comes."
