Mata, 25, has been the subject of speculation throughout the transfer window, with rumours suggesting that he could move to Manchester United as part of a deal to take Wayne Rooney to Stamford Bridge.
Anzhi Makhachkala playmaker Willian is expected to complete a move to Chelsea in the coming days, increasing the competition for places under manager Jose Mourinho - who is in his second spell at the club.
Spain international Mata was an unused substitute in Chelsea's 0-0 draw with United at Old Trafford on Monday, and has made just one appearance in the club's first three games.
Mata's agent – who is also his father - was reportedly at the Emirates Stadium on Tuesday as a guest of Arsenal, who cruised into the group stage of the UEFA Champions League with a 5-0 aggregate win over Fenerbahce.
That development has fuelled speculation that Mata could make the switch to Arsenal, but Wenger does not believe Mourinho - who has previously stated that the former Valencia man is not for sale - would allow Mata to sign for a Premier League rival.
"I like him (Mata)," Wenger said.
"I watched the game last night (Monday) and I've heard, like you, Juan Mata could be on the market.
"There is anyway in England a reluctance to sell to each other."
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