The Frenchman was replaced by Unai Emery last year, to end his 22-year stay with The Gunners.
Since then, the 69-year-old has been linked with a number of clubs, but he has remained without a coaching job.
However, the former Monaco boss disclosed that he has been discussing with some personalities at the club, hinting that he might not return to the Emirates due to interferences that may occur if he took the job.
“I have been in touch with some people at the club but I felt when you go like that you cannot be half in, half out. You let people who come in work their way, and I wanted to take a complete distance,” he told beIN Sport.
“It’s still a bit early, maybe, to go back. I haven’t been back at the club.”
Wenger took charge of 1,235 competitive fixtures at Arsenal, winning 707 and losing 248.