Wenger hasn’t managed since his departure from Arsenal in May 2018 after 22 years at the helm.
The Frenchman was targeted by Premier League clubs, who he has refused to name, but insisted that if he was to manage again then it would be outside of England.
Arsene Wenger turned down Premier League job offers as he is ‘too linked with Arsenal’
As reported by Sky Sports, Wenger said: ‘I’m an Arsenal man and after that I’m a professional. I can’t stop working.
‘I decided to move out of the Premier League because I am too linked with Arsenal. I had opportunities to work in England but I turned them down.
‘I don’t want to tell you (which clubs) because there are people in charge and it would unfair to them.’
Despite enjoying much success early on at Arsenal, Wenger received a considerable amount of criticism in the latter stages of his tenure at the club.
The 69-year-old defended himself by saying that building the Emirates Stadium restricted the club financially.
Wenger will soon decide whether to accept a position as FIFA’s chief of football development
He said: ‘I know it is normal that people always want more. We won a lot and we built the (Emirates) stadium.
‘It’s difficult to explain today the circumstances in which we built the stadium because the turnovers today have been multiplied by five.
‘When we decided to build the stadium, we had a turnover of £90m and the stadium was £430m. Then the pressure is really there and I think to come out of that period in a very healthy situation was a little bit of a miracle.’
Wenger has been approached by FIFA over a position and will soon decide whether he wants to accept it.
He said: ‘It’s chief of football development in the world and that decision will be made very soon. They look for people who have big experience and knowledge of the game who have learned a lot.’