It was confirmed on Saturday that Borussia Dortmund forward Lewandowski will move to Bayern at the end of the season after agreeing a five-year contract with the German and European champions.
Wenger admitted he had made an approach for the Poland international, only to be informed that the 25-year-old had already decided on a switch to the Allianz Arena.
The Frenchman has hinted that he may now turn his attentions to Bayern striker Mandzukic, although he does not expect Pep Guardiola to part with the Croatia international in January.
"Yes we looked into Lewandowski but honestly he signed for Bayern one-and-a-half years ago, everyone knows that," Wenger said.
"They can only make it official now because he is in the last six months of his contract.
"We are like everyone, we look out there and see what is happening. If an opportunity turns up, you know as well that all the big players are at big clubs at the moment and they go for important targets.
"Unless you have a club in a desperate financial situation it will be difficult.
"If we find someone like (18-year-old Serge) Gnabry at that age when no one knows them, then maybe. But I just said many times we don't rule anything out.
"Lewandowski is at Dortmund until the end of the season and they (Bayern) will not sell Mandzukic now - maybe at the end of the season."
