Sevilla confirmed on Thursday that Arsenal had made an approach and Squillaci, 30, asked to be omitted from the side that faced Braga in the club's Champions League qualifier.
Arsenal have signed Laurent Koscielny from Lorient this summer but Philippe Senderos was sold to Fulham and William Gallas, Sol Campbell and Mikael Silvestre have all left the club on a free transfer.
Wenger has identified Squillaci as a candidate to strengthen his defence at Emirates Stadium but has hinted that an imminent deal is unlikely. It is reported that Squillaci has an asking price of around 8 million.
"He is one of the players we look at," Wenger said. "With central defenders we are short number-wise, so we look at him, but we are far from being close to signing him."
Sevilla coach Antonio Alvarez says Squillaci will not play in the second leg of the Spanish Super Cup against Barcelona, and stated he was disappointed with the player's reluctance to feature in Europe.
"I didn't like the fact that he didn't want to play (against Braga), but the circumstances turned out that way," Alvarez. "I wasn't going to lose a lot of time thinking about what could happen. I turned over a new page and forgot about the issue."
Arsenal were expected to earn in the region of £3 million when selling Armand Traore to Benfica but the Portuguese club have announced they have failed to agree personal terms with the left back.