The Frenchman has not been in a job since he left the Gunners last year, after 22 years at the helm during which he won all major domestic honours at the Emirates Stadium.
Speculation however has linked him as a favoured candidate to replace the departed Niko Kovac at the Bundesliga champions.
Speaking on beIN Sports, where he was guesting as a pundit, Wenger made light of initial questions about whether he would join the Bavarian outfit before expanding on what he misses most about being in the hot seat.
"I came here to speak about the games and you've started very strongly there, putting me under pressure," the 70-year-old stated with a laugh. "Coaching was my whole life and now everybody who has coached will tell you the same.
"You miss the intensity. Some things you miss big and some things you don't miss. I enjoyed as well things that I don't miss too much but on the other hand, winning a football game, preparing a team for a game, the satsifaction and shared emotions, it is something that you miss.
"So of course, yes. I was responsible at 33 years of age and I coached until 69 without interruption at the top level. That is 36 years without stopping, you know.
"On the other hand, even if I miss it, getting out of that pressure for a year was not too bad for me. People who know me well say I'm more relaxed - it's true!"
He also spent a year-and-a-half at Japanese outfit Nagoya Grampus Eight before he was appointed Gunners boss in 1996, replacing Bruce Rioch.
As Arsenal manager, he won three Premier League titles and took them to the Champions League final in 2006, while he has awarded an honorary OBE in 2003 for his services to football.