The former Gunners boss is now working as a pundit but claims he wanted to bring the England star to London from Manchester as the Frenchman saw the youngster as one of the best players of his generation.
Sancho has turned into a star for Dortmund and England since making the jump to the Bundesliga in 2017 with his pace and willingness to run at and unsettle defenders, and Wenger claims that confidence was one of the things that caught his eye early on.
"I wanted to sign him from Man City when he wasn't getting games," Wenger said on beIN Sports.
"I tried to lure him because he is from London. I tried to get him to Arsenal.
"He is one of the best players of his generation. He can dribble, he has the arrogance. There is something in there that is part of the big players.
"You can call it confidence, belief, arrogance but it has to be there."
Wenger, who long had a reputation as a manager willing to turn to young players, also believes that the amount of money on offer to players like Sancho before they’ve earned it on the pitch could be hampering their drive to improve.
"The pressure on these young boys from an early age is very big," he said
"They get a lot of money before they have played games. It doesn't improve the hunger index.
"It is a test because they are rich before they play.”
With Wednesday’s match against Tottenham, Sancho became just the seventh English player to face an English side in the Champions League as a member of a non-British team, following the likes of David Beckham, Ashley Cole, Owen Hargreaves and Steve McManaman.
Unfortunately for the Bundesliga
A second-half onslaught from Tottenham doomed Dortmund to a first-leg defeat in their round of 16
The good news for Dortmund supporters is that the club still