The Gunners have been heavily linked with the 20-year-old Brazil international, who is set to start the second leg of the final for Mineiro hoping to overturn a 2-0 deficit.
The report claims Bernard is widely expected to leave the club this summer, and the final will be his last match.
And Wenger has asked for a full scouting report from one of his trusted lieutenants - Everton Gushiken.
Gushiken has been Arsenal's South American scout for several years, and has provided the club with several recommendations from the continent.
But Arsenal are by no means the only club interested in the Brazil winger, with scouts from Borussia Dortmund, Porto, Benfica and Tottenham also likely to be in attendance.
The report claims an offer in the region of £20m could be enough to convince Mineiro to part with their latest academy graduate.
Bernard has refused to be drawn on speculation linking him with the Premier League in recent days, but interest from Arsenal is thought to be concrete.
The Mineiro playmaker has scored 11 goals in 59 appearances for the Brazilian club since breaking into the first-team squad in 2010.