The 68-year-old says he has received "more offers than expected" since announcing he will step down as Gunners manager after nearly 22 years in charge.
Wenger has been tipped to join PSG, either as a replacement for head coach Unai Emery or to take on a directorial role should the Ligue 1 champions put Thomas Tuchel in charge of the first team.
Although he feels he wants to continue in coaching, Wenger will not discount the idea of a change.
"A general manager role? That's what I have to decide," he said ahead of Arsenal's trip to Leicester City on Wednesday.
"I have not made the decision so, at the moment, I would say yes [I will carry on in coaching], spontaneously yes. But maybe with a distance I will think 'No, maybe it's a time to change a little bit of direction.' Honestly, I can't give you an answer. I don't know."
Wenger's ties to PSG president Nasser Al-Khelaifi have encouraged speculation he will move to Parc des Princes.
However, he says their relationship is more based on his punditry work for beIN SPORTS, Al-Khelaifi's broadcasting network, and denied that could influence his plans.
"My relationship with Nasser is more based on media," he said.
"When he was a young boy he started in his job, I was his first contract — his first signing. So that's why we have a good relationship. And I was always with beIN. But that doesn't influence any decisions."
Wenger also admits it will be tough to get used to spending his days away from Arsenal's London Colney training ground, where he says he never missed the chance to be out on the pitches.
"I enjoy going out there every day, of course. You know, I didn't miss a training session in 22 years. I never stayed in my office. Every day, I was out there," he said.
"That is something that I will miss. I like green grass and I like to walk on it every morning."