The Frenchman says that he spent time with the Chelsea superstar's representatives at his home before the Gunners were blown out of the water by the Blues' offer two years ago
The Belgian was the subject of a mass scramble for his signature in 2012 after deciding to leave Ligue 1 club Lille, as the likes of Manchester United, Manchester City, Tottenham and Arsenal all competed with the Blues for the 23-year-old.
Eventually Chelsea clinched the £32 million signing and the winger has gone on to become a key player for the west Londoners, winning the PFA Young Player of the Year award this campaign.
Wenger told BeIN Sports: "Yes, I wanted to take him. I had his agent at my home but again the barrier was financial and Chelsea made an effort that I couldn't make.
"He can be one of the players who grows into the [Lionel] Messi, [Cristiano] Ronaldo stature if he continues to develop well."