However, the 70-year-old – who has been out of management since leaving Arsenal in May last year – ruled himself out of taking over at Bundesliga champions Bayern.
"I'm out of this. First of all, I never was a candidate. I have been approached and I'm not in the running for the job," Wenger told beIN Sports . "I'm not a candidate for the job."
Asked if that meant he was done with management, Wenger said: "No, not necessarily."
Bayern are third in the Bundesliga, four points behind leaders Borussia Monchengladbach, after their 4-0 rout of rivals Dortmund.
While Wenger won't be heading to the German giants, the Gunners legend has previously hinted at his desire to get back into management.
"Coaching was my whole life and now everybody who has coached will tell you the same," he said.
"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 satisfaction 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!"
Since leaving the Emirates, Wenger has turned heads with his punditry, recently suggesting Barcelona have become far too reliant on Lionel Messi and claiming Eden Hazard's slow start at Real Madrid is down to weight gain.