The 69-year-old has stayed away from management since leaving the Gunners at the end of the 2017-18 season after 22 years in charge of the London club.
Despite being without a coaching role for the past 17 months, Wenger says he has had a number of offers to take charge of English top-flight teams, but he turned them down because of the connection to his former club.
“I’m an Arsenal man and after that I’m a professional. I can’t stop working,” Wenger told Sky Sports News.
“I decided to move out of the Premier League because I am too linked with Arsenal. I had opportunities to work in England but I turned them down.
“I don’t want to tell you [which clubs] because there are people in charge and it would unfair to them.”
Wenger, who is now working as a pundit for bEIN SPORTS, won three Premier League titles and seven FA Cups with the Gunners and also led the ‘Invincibles’ to an unbeaten season in 2003-04.
After getting Arsenal in to the top four for 20 consecutive seasons, Wenger struggled in his final two campaigns in charge – finishing fifth and sixth respectively.
The French coach was keen to back his legacy, despite the troubled end to his tenure, pointing to their sustained success and the financial growth of the club.
“I know it is normal that people always want more. We won a lot and we built the [Emirates] stadium,” Wenger said.
“It’s difficult to explain today the circumstances in which we built the stadium because the turnovers today have been multiplied by five.
“When we decided to build the stadium, we had a turnover of £90m and the stadium was £430m. Then the pressure is really there and I think to come out of that period in a very healthy situation was a little bit of a miracle.”
Wenger has been shortlisted for the chief of football development role with governing body FIFA but he hasn’t decided whether to take the role yet.