Wenger, 70, stepped down in May 2018 after helping the Gunners win three Premier League titles and seven FA Cups during his 22 years in charge.
He has been invited back since, but says it was best to “cut completely” from the club after his departure.
“I thought it’s better to follow from a distance,” he told The Times.
Wenger says his exit from Arsenal was a “very lonely, very painful” separation and he currently has “no connection at all with the club”.
That is in contrast to another of the Premier League’s long-serving managers, Sir Alex Ferguson, who was offered a seat on the Manchester United board when he retired from management in 2013.
Wenger said he did not know why we had not been offered a role with the north London club, but would have accepted it had he been given the opportunity.
“I always said I would still play a part in the club, but I could understand that at the start it’s better that we take a complete distance,” he said.
Wenger previously stated he wanted to return to management in early 2019, but instead took up a role as Fifa’s chief of global football development in November of that year.
Having spent some time away from the dugout, he now admits he’s “not sure” if he will manage a club again,
“For 40 years I did only that every day in my life,” he said. “[Now I am] Making some sport. Visiting my family and friends. Holidays. Reading a lot. Enjoying life but in a sensible way, because I’m a little bit drilled by 30, 40 years of discipline, you know?”