The Gunners had a very busy January transfer window as they off-loaded Alexis Sanchez to Manchester United in a swap deal for Henrikh Mkhitaryan.
Arsenal then spent the rest of the month searching for his replacement and Lemar was earmarked as a potential candidate.
However, they faced tough competition from Liverpool, who sold Philippe Coutinho to Barcelona for £142million.
But the Gunners opened secret negotiations with the French club in a bid to bring Lemar to the Premier League.
According to the Mirror, Wenger told the club’s executive box holders at an exclusive Q&A that time ran out on a deal for the 22-year-old.
Instead, Wenger’s intentions were focussed on securing the services of Pierre-Emerick Aubameyang on deadline day.
The Gabon international completed a £55million move from Borussia Dortmund.
But Gunners fans could have been celebrating a double success had there been longer for Wenger to push through the Lemar transfer.
Star midfielder Mesut Ozil also committed his future to the club as he put pen to paper on a long-term deal.
Arsenal fans could get to see their new players in action when they face Everton this afternoon (5.30pm).
However, Wenger has indicated that Aubameyang may not play because of illness.