Zaha, 20, made his England debut in a friendly with Sweden in November despite playing for second-tier English side Palace and reports have linked him with Manchester United and Arsenal.
"I don't know if he will go to Man United. If he goes to Man United, good luck to him. We were never in for Zaha, never," Wenger told a news conference ahead of Wednesday's rearranged Premier League home game with West Ham United.
"We look only for players, not numbers but quality," added the Frenchman, who was coy about a move for compatriot and Olympique Lyon playmaker Yoann Gourcuff.
"I don't give you any names. It would put Lyon in a bad position and the player as well; you have to respect the player has a contract."
Wenger, whose side are sixth in the Premier League and desperate to make the fourth Champions League spot, also spoke glowingly about West Ham midfielder Mohamed Diame but would not be drawn about possible interest.
Back-to-back league defeats by Manchester City and Chelsea prompted tabloid stories of Wenger holding showdown talks with his squad, which did not impress the manager.
"You do not have to come into our sleeping room to know what happens," he said.
"It becomes a little bit ridiculous that every single bit of the football club now has to be public and explained."
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