Next week's showpiece between two of London's Premier League clubs will be hosted in eastern Europe, with Arsenal midfielder Henrikh Mkhitaryan not travelling due to safety concerns given the politician tensions between his native Armenia and Azerbaijan.
Many supporters are set to miss the trip too given the difficulties in travelling to Baku and the fact that each club has only been allocated 6,000 tickets at a stadium with a capacity of 68,700.
Arsenal have publicly criticised UEFA's decision to stage the final in Azerbaijan and Wenger has expressed sympathy for both sets of supporters and Mkhitaryan.
"It's a little bit of a nightmare [for the fans]," Wenger told BBC Sport.
"The teams have no problem. They live in ideal conditions - they have their private jet, nice business seats. But it's the fans.
[...] It‘s the kind of game that doesn’t come along very often for us players and I must admit, it hurts me a lot to miss it.I will be cheering my teammates on! Let’s bring it home @Arsenal #uel #final #arsenal #chelsea #AFC #COYG pic.twitter.com/gnDA6oyolw— Henrikh Mkhitaryan (@HenrikhMkh) May 21, 2019
"[Mkhitaryan's situation] is something that should not happen in football.
"I feel it's not normal that in 2019 - inside Europe, with very sophisticated democracies - that you cannot play for political reasons."
Wenger has not taken another managerial job since leaving Arsenal at the end of the 2017-18 season, ending a 22-year stay with the club.
The 69-year-old revealed he wants to return to football but is unsure if he will be a boss again, and he said Arsenal will "be forever my club".
Wenger added: "I miss competition and I miss Arsenal because I left my heart in there.
"I gave my life to this club for 22 years. Every minute of my life was dedicated to this club and I miss the values we developed inside the club.
"I support Arsenal. It will be forever my club."