The full-back quit the north Londoners in acrimonious circumstances to join Jose Mourinho's Chelsea and subsequently went on to win one Premier League title and the Champions League with the Blues.
And a rueful Wenger feels that Cole, who now plays for Serie A side Roma, should never have left the Gunners. As reported by The Guardian, he explained: "A regret of my career [was seeing Cole leave]. He left on a misunderstanding between his agent and the club.
"[Cole is] a fantastic fighter as well. The rest of his career has shown how big a player he is. It should have been here [with Arsenal]."
Wenger also had high praise for Thierry Henry and argues that the forward's speed and ability to score outstanding goals set him apart from the rest. He added: "This guy could do absolutely everything.
"What symbolises Thierry are those special goals – the goal he scored against Liverpool, or the goal he scored against Real Madrid. He was Usain Bolt with a top football talent."