
Borussia club boss Hans-Joachim Watzke told Saturday's Ruhr Nachrichten daily no one at the club would be commenting on the issue.
German media have reported that Watzke and the club's sports director Michael Zorc were in London this week to sound out a possible transfer.
Dortmund's interest in Lehmann appears to have intensified after news that first-choice goalkeeper Roman Weidenfeller is likely to be sidelined for three months with a shoulder injury.
Lehmann, 38, played 129 Bundesliga games for Dortmund between 1999 and 2003 before joining Arsenal.
On Saturday he was again on the substitutes' bench for the London club against Everton at Goodison Park.
The Germany keeper has made just two league appearances this season for Arsenal and manager Arsene Wenger said this week he was prepared to listen to offers for the player.
"We will sit down together if an offer comes, but I believe first he has to make his own mind up if he wants to stay with us, or not," said Wenger.
"I, personally, would prefer him to stay with us."
A number of clubs have been linked with Lehmann including the Premier League's Manchester City.
"I heard about Dortmund but I have had no contact with anybody," said Wenger.
"You must always go day by day - but if he says 'Listen, I have the only chance to play in the European Championship if I play somewhere' I will try to help him."
DPA