The 69-year-old, who is now a pundit with bEIN SPORTS, 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.
“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 be unfair to them.”
Wenger, now linked with a coaching job with Lyon, 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.