The Gunners are facing a battle to keep Chile international Alexis Sanchez and Germany international Mesut Ozil at the north London side given their pair have less than six months remaining on their current deals.
Arsenal could also lose Olivier Giroud and Theo Walcott in the January transfer window given the duo have ambitions of playing for France and England at next summer’s World Cup in Russia.
The Gunners have been regularly linked with a move to sign Leicester playmaker Mahrez since the Algeria international fired the Foxes to an unforgettable Premier League title triumph in 2015.
Ivory Coast international Zaha has been in excellent form in the 2017-18 season to prompt talk of a potential switch across the English capital to Arsenal, Chelsea or Tottenham Hotspur.
Former Arsenal midfielder Nicholas believes the FA Cup holders should target Mahrez and Zaha to improve their attacking options.
“I also think Olivier Giroud and Theo Walcott would want out so we would need cover in those attacking areas and I would consider Wilfried Zaha and would have him ahead of Riyad Mahrez,” Nicholas told Sky Sports.
Arsenal finished 2017 with a frustrating 1-1 draw with West Bromwich Albion at The Hawthorns on New Year’s Eve.
The Gunners signed Lyon striker Alexandre Lacazette and Schalke 04 defender Sead Kolasinac in the summer.
MORE: Man United latest news
MORE: Arsenal latest news
MORE: Chelsea latest news
MORE: Liverpool latest news