The 27-year-old signed a four-year deal with the west London club on Sunday after the Blues triggered the £8.5m release clause in his Queens Park Rangers contract.
Arsenal were heavily linked with a swoop for the forward this summer as Wenger looks to bolster his attacking options at Emirates Stadium.
The Arsenal boss refused to reveal whether he was interested in bringing Remy to the club, but insisted he is still on the lookout for a new forward.
When asked directly about Remy, Wenger told Sky Sports: “I do not want to speak about individual cases. We are very active.”
Speaking to BBC Sport, he added: “We are active in the window, we are working hard to find a solution.”
Rémy joined QPR from Marseille in January 2013, scoring six goals in 14 games, as Rangers were relegated from the Premier League. He spent the 2013-14 campaign on loan at Newcastle United, where he scored 14 goals.
MORE: Man United latest news
MORE: Arsenal latest news
MORE: Chelsea latest news
MORE: Liverpool latest news