The Gunners, who were held to a 1-1 draw at Southampton on New Year’s Day, have been linked with a host of players in recent months, including the likes of Crystal Palace’s Wilfried Zaha and Manchester United winger Nani.
Wenger has also been linked with a move to bring Henry back to north London for a third spell with the Gunners.
“I will be active [in the January window] yes,” Wenger said.
“We are looking everywhere. We are open-minded. We want to strengthen the squad everywhere.”
Asked if the Frenchman is still keen to secure the services of the 35-year-old Henry, Wenger replied: “At the moment we are not on that case.”
Arsenal are currently in fifth place in the Premier League table ahead of this weekend’s trip to Swansea City in the FA Cup third round.
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