"I don't know if Man United will sell Rooney, and that is the best sign to show you that we have not made any approach for him; the first thing is to phone Manchester United, which we did not do," the Frenchman told reporters.
British media had suggested the Gunners might move for England international Rooney, who has asked United for a transfer and was left out of the champions' last home game of the season.
Arsenal sold Dutch striker Robin van Persie, the league's top scorer, to United last August.
French youth international Sanogo has scored nine goals in 11 league appearances for Ligue 2 side Auxerre.
"It is in the advanced stages but it is not done," Wenger said of a deal. "I'm very confident. He is a young, promising striker who is a big talent."
Arsenal play at Newcastle United in their final match of the season on Sunday to secure a top four place and Champions League football again next year.
Fifth placed North London rivals Tottenham Hotspur are at home to Sunderland and can deny Arsenal a top four place if they win and the Gunners draw or lose.
Wenger, who faced questions about his future after Arsenal made a poor start to the season, said he always knew it would go down to the last game and praised his players for their fightback and nine game unbeaten run.
"We are in a position nobody expected us to be in. We have our destiny in our hands, our fate in our hands and that's what you fight for in the game," he said.
"It's a game that we now want to win but at least we fought back to be in a position where we are masters of our own fate."
