The Gunners manager is set to turn his attention elsewhere after baulking at Swansea's £10m valuation of 28-year-old centre-back Ashley Williams.
Wenger views 17-year-old Jedvaj as the long-term option, and is prepared to pay up to £6m to bring him to the Emirates Stadium.
The report claims Italian side Roma had a £5m offer for the young defender turned down earlier this week, but Arsenal will test Dinamo Zagreb's resolve with an improved bid in the next few days.
Jedvaj has already been called up to the full Croatian national team to train alongside the likes of Luka Modric and Mario Mandzukic.
Along with fellow Dinamo Zagreb super teen Alen Halilovic, Jedvaj is regarded as one of the next great generation of Croatian players.
And Croatia's poor recent performances in World Cup qualifying mean the Zagreb defender stands to make his full national team debut sooner rather than later.
Defeat at home to Scotland in their previous fixture has severely dented Croatia's chances of reaching Brazil, and Jedvaj is tipped to make his debut soon.
The centre-back only made his first-team debut for Dinamo this year but he could be fast tracked through the under-21s into the main Croatia squad.
Halilovic recently made his debut for the national team in the 1-0 defeat to Portugal earlier this month.