Currently designing some components by purchasing an off shelf item made of high alloy steel and I would like to weld it to another steel part. Since I don’t know the exact composition of the purchased component, is it safer to weld it to another high alloy steel or any steel will do?

Any response will be greatly appreciated!

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Since I don’t know the exact composition of the purchased component, is it safer to weld it to another high alloy steel or any steel will do?

No. Neither approach is correct and is poor engineering practice.
Before you do anything you need to know what materials you are joining, period.

I agree with Metengr, you have to know what material the purchased part is made of to select the proper welding rod and process for joining to your steel part. Ask that supplier, they can give you this info. Then you select your welding rod, strength, etc. and process. And, you must know which are the controlling design aspects of this joined system. You might need a weld which matches the stronger purchased part, or maybe a larger weld matching the strength of your weaker steel part will work. In either case the two steels and the welding process must be compatible. This is all part of a complete design process for this welded joint.

The material of the off shelf component is 6140 steel.

6140 steel is a chromium - vanadium alloy steel. This material must be treated with caution regarding welding because of the carbon content (0.40% by mass), chromium is in the range of 0.6-0.95 % by mass and vanadium is 0.10-0.15% by mass.

This material requires elevated preheat and post weld heat treatment along with low hydrogen consumables. I would not try to weld this to itself or even a lower grade carbon or alloy steel without a specific welding procedure along with preheat, interpass and PWHT requirements.

What material would be best suited for welding to 6140 steel?

The filler metal choice would depend on the minimum mechanical properties required.

Is it possible to weld the 6140 steel item to cold drawn seamless tubing made of 1020 steel?

Yes, it is possible with proper technical guidance. Joint design must be determined, and the rest falls into place.