The Gunners are keen to add the Ivory Coast global to their squad and offered £40m for him earlier this month.
The north Londoners put in a £40m bid but the winger, but it was dismissed as derisory by the Eagles.
Emery has been restricted to a tight transfer budget this summer, with just £45m available for the Spaniard to spend.
Zaha has already been pushing for the move to the Emirates, with his brother insisting publicly the winger wants to join Arsenal.
Arsenal offering players in part-exchange has been floated, but Crystal Palace are not interested in such an arrangement and would only consider it as a last resort.
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And The Sun claim Arsenal bosses will highlight to Crystal Palace that accepting the players-plus-cash proposal will see them having to hand over less money to United.
"Wilfried will always hold Crystal Palace and their fans in the highest regard and all the support they have given means the world to him", he was quoted saying.
Whether Palace will entertain such an offer remains to be seen, but it is worth considering none of the players mentioned would be a direct replacement for Zaha at Selhurst Park.
"But it's my brother's dream though to play for Arsenal".
Palace are not ready to let go of the 26-year-old without recouping part of the investment, but Arsenal manager Unai Emery's budget will get only £40m mark if the club fail to beat Chelsea to reach the Champions League.
"I hope Palace will be able to see their way to agreeing a deal with Arsenal that allows Wilfried to realise his dream of playing European football for the club he's supported since childhood".