The Frenchman, who is severing ties with the Gunners after 22 years, is yet to clear his desk at Emirates Stadium and ready himself for a new challenge.
He has vowed to remain in football, with the 68-year-old not ready to head into retirement just yet.
No decision has been taken on his future, though, with a mooted directorial role back in his homeland at Ligue 1 champions PSG yet to be discussed.
“I have had no discussions with them recently, I can tell you that in all honesty,” Wenger told The Guardian.
“I have always been close to those in charge of PSG – I advised them to buy the club because I was convinced there were great things that could be done in a city which loves football.
“They have worked well and made a good start. I think people are too hard on them, too demanding.
Wenger added on how he is still coming to terms with life after Arsenal, with his exit having been announced in mid-April: “It’s just too soon to know what I will do next.
“I haven’t even emptied my desk yet and in a way I am still in a state of shock.
“I am going to give myself until June 14, the day the World Cup begins, to decide. The question is do I still want to coach, to be on the bench, or is it time to take up different functions? The one thing I can say for sure is that I will continue to work.
“But do I want to continue to suffer as much? I want to continue to defend my ideas of football, that’s for sure. Spontaneously, I would say I still want to coach but I can’t really say that yet for sure.”
Wenger has also suggested that Arsenal will struggle to replace him, with loyalty and continuity seemingly traits which have disappeared from football during his epic tenure in north London.
He added: “My type of loyalty probably doesn’t exist anymore.
“Maybe the dinosaur I became was the last symbol of times that have changed. We are today in a society which is so quick to reject. There is no time to build, to construct, always this demand for results immediately. Maybe people wanted to manifest that too.
“It was nice to see some of the recognition, I admit. When I arrived, you know, I was a complete unknown and I have always had the impression I am representing my country in a way.
“In a land where there has always been so much animosity between the English and the French I am proud to have achieved certain things and perhaps to have opened doors for other French coaches. Don’t forget, when I arrived in England a foreign manager was a very rare thing.”