The Gunners have been widely reported to have agreed a fee with Lille to bring the 24-year-old to The Emirates before the close of the transfer window next month.
Pepe is widely regarded as one of Europe’s most promising attacking players, with the forward having scored 22 goals and made 11 assists for Lille in Ligue 1 last season.
Emery was asked directly about Arsenal’s interest in Pepe after the Emirates Cup on Sunday.
And speaking at his post-match news conference at The Emirates, Emery said: “We are working and thinking about how we can improve. There are different players on the table, with the possibility [of signing] if we can.
“Pepe is a very good player, and also we are thinking only of players that will improve this squad, and also give us some different conditions to improve.
“We are working for the last eight weeks, and before the first game of the season to get the best team together with the best players in our squad.”
Arsenal are still thought to be on the lookout for a number of new signings this summer as they bid to add to their squad ahead of the new campaign.
The Gunners – who lost the Europa League final to Chelsea FC in May – will kick off their Premier League season with a trip to Newcastle United on Sunday 11 August.
The north London side will be focused on trying to break back into the top four this season after they ended up fifth and without a trophy in Emery’s first campaign in charge last term.
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