At the top of the list is Atletico Madrid frontman Diego Costa. But the Arsenal boss is also keeping tabs on Fernando Llorente, Ezequiel Lavezzi, Stephan El Shaarawy and Robert Lewandowski.
Following their eye-catching summer deadline day addition of Mesut Ozil, Wenger wants to make another high-profile signing in the winter window.
He is being backed by the club's board to capitalise on the club's strong start to the season as they look to mount a title push - a bid that was judged unlikely at the beginning of the campaign.
Despite Olivier Giroud's impressive performances, Arsenal remain a striker short and Wenger wants another high-class option to improve the squad's strength in depth.
At the moment, Nicklas Bendtner is Arsenal's first option off the bench in place of Giroud. The Premier League leaders are exploring options for the winter window, with this five-man shortlist indicative of the club's new aggressive approach to the transfer market.
The report claims Wenger will have £30m to spend on a striker, with Lavezzi, El Shaarawy, Lewandowski and Costa considered realistic targets while Llorente is viewed as a potential loan addition.
Recent reports revealed Arsenal's interest in Costa, and the report suggests Gunners scouts will be in attendance for Atletico's match against Levante on Saturday in Madrid.
He signed a contract extension earlier this year, but it reportedly includes a £30m buy-out clause.
Lavezzi and El Shaarawy are not traditional number nines, but they offer versatility. Lavezzi has been bumped down the pecking order since Edinson Cavani arrived, while El Shaarawy is playing in the shadow of Mario Balotelli at the San Siro.
All five players would be ineligible for the Champions League, but Juventus's exit from the competition could make Llorente a realistic target.
He endured a difficult start to his Juve career, although his form has since picked up since with six goals in 18 appearances.