But, in a classic game of transfer window poker, the Arsenal manager gambled all his chips in high summer on extricating Suarez from Liverpool.
By the time Wenger had admitted defeat, Higuain was providing a club forever associated with Diego Maradona with another Argentine to idolise.
Now, as fate would have it, Arsenal face the very real prospect of seeing their Champions League aspirations derailed by a player who could easily have been lining up for them tonight.
Instead, Wenger is only able to call upon the overburdened Olivier Giroud, whose improved form this season has been an uplifting aspect of Arsenal rise to the Premier League summit, though even he has admitted he would have relished the challenge of competing for his place.
That nobody, bar the exceptionally raw and currently injured Yaya Sanogo, arrived to bolster Arsenal’s striking ranks was a shock, not least to the direct beneficiary of Wenger’s dithering.
Long before Paris Saint-Germain trumped Chelsea and Manchester City by paying the colossal £54 million buy-out clause in Cavani's contract, Arsenal had been close to making Higuain the club's first £20m-plus signing.
Wenger, with the best part of £100m burning a hole in his well-tailored pocket, had made a world-class centre-forward his priority and regarded the prolific Higuain as an upgrade on the strikers already at the Emirates Stadium.
Arsenal wanted to make a statement signing early in the window. The player was sounded out and the terms of a contract with a £100,000-a-week starting salary were agreed in mid-June.
With Real Madrid willing sellers as they prepared to make space on the wage bill for Gareth Bale, a deal seemed to make sense for all parties.
Arsenal offered an initial £21m. Real wanted £25.5m. A Gunners delegation flew out to Madrid to close the deal.
With old negotiating habits dying hard, Wenger played hardball for a few weeks before sanctioning an improved £23.1m bid. In the first week of July, sources told Goal the fee was "24 hours from being agreed".
Yet, in a window with a uniquely high number of proven centre-forwards on the market, Wenger learned of Suarez's surprise interest in making the seemingly sideways move from Anfield to the Emirates and switched his attention to landing a player he regarded more highly than Higuain.
Napoli's charismatic president Aurelio De Laurentiis sensed his chance. Renowned as one of the most decisive movers in the European market, he negotiated for a large chunk of the Cavani cash to be spent on Higuain.
Napoli eventually agreed to pay an initial £31.8m for Higuain, considerably more than Arsenal's best offer.
We were working on two or three targets and he was one of them, admitted Wenger in the build-up to Tuesday's match. It didn't come off in the end. That doesn't take anything away from his quality. Napoli took advantage of that at the right moment.
In the end Real Madrid sold two great players - one of them went to Napoli, one Mesut Ozil went to Arsenal, so it's 1-1 on that front.
Higuain provides a near cast-iron guarantee of goals for club and country, and his predatory skills have not been dulled by the move to Serie A.
The 25-year-old has scored four in seven matches for his new employers, including a superb header in the Champions League against last season's finalists Borussia Dortmund a fortnight ago, when he left the field to a deafening ovation.
Second in Serie A last season, Higuain has helped Napoli to be among the fastest out of the blocks this time around.
They are unbeaten in the Italian league, winning five of six matches, and provide mouth-watering competition for Arsenal, the unexpected Premier League pace-setters.
All Wenger’s striker targets slipped the net and even a deadline-day loan bid for Demba Ba failed, providing Nicklas Bendtner with an unlikely chance to resurrect his Arsenal career.
With Wenger unconvinced by Theo Walcott and Lukas Podolski in the centre-forward role, the Dane is the only authentic senior back-up to Olivier Giroud, who finds himself in the rarefied position of almost being untouchable at a Champions League club.