Vela, 21, has only made four substitute appearances in the Premier League this season and, although he has been a regular fixture in the Arsenal team for cup matches, the Mexican international is in need of more regular football, according to Gunners boss Wenger.
Earlier this month, Wenger outlined his plans to send Vela out on loan and, consequently, a number of clubs have been in contact regarding a possible deal for the forward.
Although Wenger would prefer the player to remain in England, Vela has stated a preference for a switch to Spain, with a deal likely to be finalised after the Gunners' Carling Cup semi-final second leg with Ipswich.
"There's nothing done at the moment, no," Wenger told Arsenal's official website. "But that could be sorted out Wednesday or Thursday.
"Personally I wish [he would go to a Premier League club] because he's a great player and it will be easier for me to follow his progress but he is attracted by Spanish football because it is his home language. But hopefully we can find a good solution for him in England."