The outgoing Bayern Munich boss thinks the Arsenal man is one of the continent’s top coaches and anticipates a tough game in Wednesday's Champions League last-16 second leg.
The Premier League and Bundesliga giants face off again on Wednesday, with the Bavarians holding a commanding 3-1 first-leg lead in the Champions League last-16 tie.
The 67-year-old is set to leave the Allianz Arena in the summer to make way for Pep Guardiola, and Heynckes said it would be "very sad" if Wenger was to leave Arsenal on the back of a sustained period without silverware.
"Arsene Wenger has not just brought success to Arsenal," Heynckes told reporters. "He is a very creative manager, producing almost fantasy football. The football they have played is fantastic year after year.
“Always his teams played the most attractive football but maybe not the most successful football. For me in the last 10 to 15 years he has been one of the best managers in Europe.”
Heynckes has acknowledged Arsenal’s decline from Premier League and Champions League title challengers to aiming for a top-four finish in recent years, and believes the sale of key personnel and inadequate replacements have largely contributed.
He said: "Arsene Wenger always had really good players, world-class players, but if you look at the last two years [and more], you have to say that the absolute top players have been transferred to other clubs.
“Talented players have come in but for every manager it is essential that if you want to play at the absolute top level, whether you are Bayern Munich, Barcelona or Real Madrid, you have to have the players to do that.
"I think that at Arsenal maybe it has been a bit more difficult for Arsene Wenger.”
Despite its superior first-leg lead, the absence of Jack Wilshere and Lukas Podolski and the fact that no side has ever overturned a two-goal home leg deficit, Heynckes is still expecting Arsenal to pose a threat in the second leg.
The German continued: "I know with certainty they will come to the Allianz Arena and give everything to get a result.
"Last year Arsenal lost to AC Milan 4-0 and in the second leg they won it 3-0 and could have scored a fourth due to the chances they had. You can see from that how much I respect Arsene."