Vardy is in France with the England squad but it has been his club future dominating the headlines in recent days.
Sky sources understand Vardy held talks with Arsenal after the Gunners triggered a £20m release clause in his Leicester contract.
No decision is anticipated on Tuesday and Wenger would not comment about a move for the 29-year-old when he spoke to beIN Sports, preferring to focus on Vardy's possibilities with England over the next few weeks.