The Gunners boss chose travel to the Match for Peace on Monday evening, an event organised by Javier Zanetti and Pope Francis to raise money for children in Buenos Aires.
The 64-year-old was pictured on the touchline at the Stadio Olimpico in the Italian capital as the clock ticked down on the summer transfer window.
Arsenal are understood to have agreed a £16m deal to sign Welbeck from Manchester United, although the transfer was not confirmed as the window closed at 23:00 UK time.
The Gunners were reported to have applied for an extension to the deadline in order to thrash out a deal to sign the striker.
The Gunners were on the lookout for a new striker after Olivier Giroud was ruled out until the new year with a broken tibia bone.
Arsenal are currently seventh in the Premier League table after taking five points from their opening three games.
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