Arsenal have been trying desperately to sign the Ivorian this transfer window after a special request from Unai Emery.
The Spaniard has a list of targets in mind this summer as he plots a way back into the top four of the Premier League.
He has demanded a centre-back, a left-back, an Aaron Ramsey replacement and a wide forward – with Zaha ticking the last box.
But Palace have slapped a massive fee on the former Manchester United winger’s head – with figures being floated as high as £100m as a warning.
Arsenal’s transfer budget this summer is depleted already after failing to make the Champions League for another season.
It has been reported that it could be as low as £45m, with Gabriel Martinelli so far the only purchase for £6m.
But there is hope on the Gunners’ side that a move is still viable as Zaha has his heart set on the Emirates.
And Sky Sports are reporting that the 26-year-old has told the Eagles when he wants to leave.
Zaha is still with the Ivory Coast at the Africa Cup of Nations after they lost in the quarter-finals.
Algeria beat them on penalties and have made their way to the final, where they will face Senegal tomorrow night.
And the tricky winger has told Palace that he wants a transfer wrapped up with Arsenal by the time he returns to the club, report Sky Sports.
The media outlet’s reporter Kaveh Solkelhol tweeted: “Wilfried Zaha has told Crystal Palace he wants to leave after returning from the African Cup of Nations.
“Palace rejected £40m bid. Arsenal expected to push again in the coming days.
“Zaha is Unai Emery’s No 1 target. Emery has wanted him since Palace beat Arsenal 3-2 in April.”
“Wilfried Zaha has no issue with Crystal Palace or Roy Hodgson.
“Because of what happened to him at Manchester United (2013-2015) he feels he needs to prove to himself that he can do it at one of the world’s biggest clubs.”