It was announced on Friday that Wenger will step down at the end of the season, despite having one year remaining on his contract with the Gunners.
The Frenchman has transformed the club since his appointment in 1996, leading the team to three Premier League title triumphs, including the famous 'Invincibles' season of 2003-04, when Arsenal avoided defeat throughout the entire league campaign.
The Clarets' trip to north London on May 6 will be Wenger's last home game, and Dyche is excited at being part of a historic occasion.
"He's a legend of the game, for all the questions marks, everyone will reflect on his time there. I'll be amazed if there's not documentaries about his time there," the Burnley boss told a news conference ahead of his team's match against Stoke City on Sunday.
"To have our little tiny piece of it, that is in itself a nice moment to be involved in for such a high profile and legendary manager."
According to Dyche, Wenger has been generous with his time and taken a keen interest in Burnley's progress during their successful rise from the Championship to European qualification contention in recent years.
"He's always been really open with us to speak to," Dyche said.
"I've heard some times he's not but with us he's always been open, he invites us in down there, he's quite inquisitive about our journey here and how we make the finance work and developing players.
"Likewise he's been in our managers' room here which is not always the case.
"It's interesting when I spoke to him he was as intrigued in us, which at his level of the market was interesting, that he's still asking me questions about what we do when usually it's me asking those questions, he's very open minded about what football is."