The Gunners face competition from Manchester United, Chelsea, Tottenham Hotspur, Newcastle, and Nottingham Forest for the 25-year-old striker.
Despite the interest, Wolves' head coach Vitor Pereira insists Cunha remains committed to the club.
"He is committed to Wolves," said Wolves manager Vitor Pereira.
"But in your life when you start to listen that other clubs (are interested), he's human and it's normal in football. He needs to put his mind on the target, to increase his level because he's come from injury and it's normal he's not at the same level now.
"To help the team again with his quality, because he has a lot of quality. The team needs him with good energy, not with frustration. He must slow down and put his mind in the right place."