The former Arsenal manager has admitted he would like to return to club management but has ruled out taking over at the Santiago Bernabeu, despite calling Real "the biggest club in the world".
But he says his loyalty to the London club following their costly move to the Emirates Stadium in 2006 meant he rejected the opportunity.
Talking on beIN Sport, he said the prospect of succeeding current head coach Santiago Solari at Real is not on the cards.
"I turned Madrid down more than once but now I must say it's over for me," he said.
"I feel if you ask any mananger in the world 'Are you interested?' and everybody would say 'Yes'. It's the biggest club in the world."
But Wenger says he has no regrets about rejecting the opportunity to stick with Arsenal.
"We live always to our values," he added. "It was in the middle of a processs. We rebuilt the stadium, we had to pay it back, I guaranteed I would stay and I'm quite happy with my decision."
Despite speculation about Solari's future as Real coach, he has vowed to fight arch-rivals Barcelona all the way in the battle for the La Liga title.
Real are second, six points behind the Catalans, and Solari, appointed in November after an inital period as caretaker manager following the sacking of Julen Lopetegui, said recently: "Madrid never give up.
"Always until the very end, and when I say the end I mean until the last game of the season.
"We showed hunger to cut the gap in points. We will always go out to win the game, regardless of the mathematics."