Walcott limped out of Wednesday night's 3-2 win over Scotland at Wembley, where he scored England's first equaliser, with a knee problem but initially reported no serious concerns.
Midfielder Jack Wilshere, who has endured a string of fitness problems, played only the first half by agreement, and with Arteta already carrying a knock, Wenger will be keen for any news on the returning Cazorla, who scored in Spain's friendly in Ecuador.
"We have positive news from the players on international duty. All the texts we had have back are okay. The games were quite intense, but we hope everyone comes back in good shape," Wenger said on the club's official website.
"Cazorla played almost a full game. He only lands in London tonight [Thursday], so we will see how he is tomorrow.
"Mikel has a slight thigh problem. We have to check that. I don't know if he will be out for the weekend. He has a scan today."
Like most Premier League clubs, the midweek internationals played havoc with preparations for the new campaign.
Midfielder Aaron Ramsey, who had impressed during the pre-season tour of Asia, pulled out of the Wales squad with an ankle injury, while reports suggest full-back Bacary Sagna also suffered a similar problem while playing for France against Belgium.
Wenger, though, was already counting to be without defensive pair Nacho Monreal and Thomas Vermaelen, who both have back problems.
While full-back Monreal is within a couple of weeks of a return, Belgian centre-half Vermaelen looks set for a continued frustrating spell on the sidelines.