Riyad Mahrez scored 17 goals and provided 11 assists to help Leicester win the 2015/16 PL title.
The French boss expects to sign a defender following the injury of Per Mertesacker.
Wenger has admitted that losing a heavyweight like Per Mertesacker is a big blow.
Mustafi spent two-and-a-half years at Everton from 2009 to 2012.
The 34-year-old joined the Gunners on loan in 2014.
The Algerian has been linked with a big-money switch to the Emirates Stadium.
The Gunners have signed Granit Xhaka and Rob Holding this summer.
Argentine striker has been linked with a move away from the San Siro this summer.
The Czech Republic international insists that building a chemistry is equally important.
Jeff Reine-Adelaide joined Arsenal from French club Lens last summer.
Rob Holding was the only player to play the full 90 minutes during Arsenal's 2-1 win over MLS All Stars.
Arsenal have had a bid turned down by Lyon for striker Alexandre Lacazette.
The 26-year-old Pole spent last season on loan with the Serie A club.
Shkodran Mustafi spent two and a half years with Everton from 2009 to 2012.
Arsenal will play against MLS All Stars and Chivas de Guadalajara in their pre-season tour of the US.
Gazidis says it is difficult to compete as increased financial power has allowed lower clubs to bid for top targets.
The Spaniard moved from Barcelona to the Gunners when he was a teenager.
Alexandre Lacazette has scored 23 goals last season and 31 the year before.
Arsenal are currently in the US where they will play San Jose on Thursday, 28 August.
The Gunners have made three signings thus far in the transfer window.
Wenger is looking to add another defender and an attacker to the squad this summer.
Kelechi Nwakali captained Nigeria in the U17 World Cup in Chile last year.