According to the not-all-that-reliable-but-still-fun Spanish paper Marca, Arsène Wenger's name is one of several on the list of candidates to replace Real Madrid manager Rafa Benitez when he is inevitably fired. Madrid has chased after Wenger a few times in the past, but Wenger has always turned them down to stay at Arsenal (obviously, as he's here).
Based on what Google Translate is telling me here (and you know, if you can read Spanish and I'm full of crap here, let me know), the club is doing a telephone survey of its members to see what they think of Benitez, as well as who they'd like to replace him should he be relieved of his duties. The list includes Wenger, as well as Zinedine Zidane, Manuel Pellegrini, Jose Mourinho, Pep Guardiola, and Carlo Ancelotti, who is obviously out as he'll be managing Bayern Munich next year.
A phone survey of the membership is a long way off from any contract offer or negotiations or anything like that, and honestly even if it did get to that point, I have very little concern that Wenger would leave the Arsenal project at this stage. Honestly I think it'd be more likely that he'd retire at season's end than for him to leave the club for another, so if you're worried that Arsène is going to abandon us for the shiny toys in Madrid, don't be. Consider the source, and consider the subject. This rumor might float around for a while though, especially if Arsenal keeps playing well and Rafa keeps pissing off the white half of the Spanish capital. So I guess continue not worrying about it until Mourinho or whoever has a contract signed.