Wenger left the Emirates Stadium in 2018 after 22 years in charge of the Gunners.
The 70-year-old remains the longest-serving manager in Premier League history, beating Sir Alex Ferguson by nine months.
During his time at Arsenal, Wenger won three Premier League titles and seven FA Cups.
The Frenchman has now said his decision to retire, means removing himself entirely from his former team.
Speaking on beIN Sports, Wenger said: “Would I return to the Emirates Stadium?
“I always said to myself that I would be leaving Arsenal completely. That’s the decision I made.”