The Gunners have been linked with several central midfielders during the transfer window, with Arteta keen to strengthen in the middle of the pitch ahead of the 2022-23 campaign.
Tielemans has been touted as the primary target, although alternatives such as AC Milan's Ismael Bennacer have also been linked should a move for the Belgian not take place.
The Foxes playmaker has entered the final 12 months of his contract at the King Power Stadium in recent weeks, and as a result, the Belgium international is expected to leave this summer.
Arsenal kicked off their pre-season with a 5-3 win over 2.Bundesliga side Nuremburg on Friday, during which new signing Gabriel Jesus scored two goals on his debut for the club.
Arteta was asked about a potential move for Tielemans by reporters following the win, but the Spaniard refused to be drawn into speculation, saying: "We never talk about players that are not ours as I said before.
"We can improve the team still in the market, we are going to try and do it but we are not going to go into any specific names."
The Gunners have brought in Jesus, Matt Turner, Fabio Vieira and Marquinhos during the transfer window so far.