Arsenal are said to have offered £6m for the midfielder but the Blues are holding out for a figure closer to £8m.
Wenger has a £30m transfer kitty to spend after the high profile departures of Emmanuel Adebayor and Kolo Toure, who both went to Manchester City.
Arsenal's only signing so far this summer remains Thomas Vermaelen, who they bought from Ajax for £10m.
Kalou is set to be offered the chance to double his weekly wage at the Emirates, with a five-year deal worth £60,000 a week being rumoured.
Kalou was quoted in Ferbuary as saying he would like to play under Wenger. He said: "He is a very great coach and I know that every single player in the world dreams of playing for him.
"I have a lot of respect for him, he is one of the best coaches in the world. Arsenal are achieving huge things and watching them play is beautiful."
Chelsea may be willing to let Kalou leave if they can tie up a deal for Andrea Pirlo. The AC Milan skipper has been the subject of a recent £14m bid from the Stamford Bridge club.
Meanwhile, Wenger is playing hardball with Bordeaux over striker Marouane Chamakh. The 25-year-old is desperate for a move to the Gunners but the French club have set his price too high according to the Arsenal boss.
He told L'Equipe: "In five months, if he doesn't prolong his contract, Chamakh will be free to talk to any club and Bordeaux won't get anything. In the current context, to me, it is over. Let's say that at the moment it is terminated.
"I like Chamakh, he is a forward that attracts me, but I already have (Theo) Walcott, (Nicklas) Bendtner, (Robin) Van Persie, (Andriy) Arshavin and Eduardo. I am in no rush.
"My offer seems fair to me, taking the market into account. Chamakh would be good, but there are other options should we wish to pursue them."