The Gunners have emerged as heavy favourites to land the Lille winger, who has been linked to some of Europe’s top teams.
Pepe is expected to be unveiled as an Arsenal player in the coming days after a £72m deal was agreed.
Emery watched his side surrender a 1-0 lead to lose 2-1 to Lyon at the Emirates Stadium today.
Pierre-Emerick Aubameyang put the home side ahead before a Moussa Dembele brace saw the Ligue 1 side to victory.
And after the game, the Spanish manager was asked specifically about the impending Pepe transfer.
“The club is thinking on how we can improve,” he said following the loss.
“There are different players on the table. Pepe’s a very good player.
“We only want players who can really, really improve the squad.
“We want the best players possible for the first game at Newcastle.”
Pepe scored 22 goals and supplied 11 assists for Lille in Ligue 1 playing down the right flank, last season.
And Arsenal fans are justifiably excited about the prospect of seeing him link up with Aubameyang and Alexandre Lacazette.
But Lacazette lasted just 12 minutes of the clash with his former side Lyon before being withdrawn due to an injury.
Gooners feared the worst after seeing the striker wearing a protective boot in the second half.
But Emery played down fears that Lacazette could miss the start of the Pmemier League season in two week’s time.
“The doctor said to me he’s going to check tomorrow…it’s in his ankle,” he said.
“He’s going to be assessed over the next few days – it’s not serious.”