But the 70-year-old has warned Arsenal fans that he will not be making a trip down memory lane anytime soon.
Speaking to beIN Sports, Wenger said: “Would I return to the Emirates Stadium? I always said to myself that I would be leaving Arsenal completely. That’s the decision I made.
“I managed the club for 1,235 games, I’ve had good and bad times there, but we always tried to defend the club’s values. And I think we managed to do it.”
Arsenal are preparing to return to Premier League action next month behind closed doors, currently sitting ninth in the table but three points away from a Europa League spot.
But Wenger has warned against playing games without football supporters at the ground.
He said: “Will it damage the show in the longer term without supporters? I’m convinced of that.
“It can be a short term solution, not a long term one but it’s still the best way to decide the season.
“We cannot take medically take such a big gamble, we have to be safe.
“Nobody believes that by mid-July we will be completely safe.
“At FIFA we proposed the five substitutes because the fixtures are very congested. I believe on the first game it’s very difficult to judge.
“I believe it is a good idea because some smaller teams could not play with the same players every three days so it allows them to use their best players.”
It comes as the former Arsenal boss has backed suggestions Liverpool should be given the Premier League title.