The veteran Frenchman is ending a 22-year stay at Arsenal but he has yet to confirm his next move, while former player Mikel Arteta is the front-runner to succeed him at Emirates Stadium.
Wenger, who signed off with a 1-0 win at Huddersfield Town on Sunday, says he is mulling over his options but is unlikely to stay in English football.
"It will be very difficult for me [without Arsenal]," Wenger told the official Arsenal website.
"At the moment if I want to continue to work, I think I have to move out of the country, because my gut feeling at the moment is that I would feel I would betray my club by staying in England.
"People might feel that I've betrayed what I've built here. That is the problem I face at the moment.
"My club is here, my heart is here and will be forever. As I said in my speech on the pitch after the Burnley game, I'm a fan above all."
Arsenal will again miss out on a place in the Champions League next season after they finished in sixth place in the table and were knocked out of the Europa League semi-final by Atletico Madrid.