Wenger departed Arsenal after 22 years in charge during the summer with Unai Emery taking over at the Emirates.
Wenger had stagnated at Arsenal with the Gunners last winning the Premier League under him in 2004.
They had tasted success in the FA Cup, lifting the trophy in three of the past five seasons.
Wenger is currently out of work with reports suggesting he turned down the Fulham job this week.
It’s now been claimed Bayern Munich have made an offer to the Frenchman amid uncertainty surrounding Niko Kovac’s position as head coach.
And Wenger has admitted he misses many general things that come with being a football manager.
“There are many things I don’t miss at all,” Wenger told beIN SPORTS. “All that stuff around the game nowadays that you have to deal with.
“But of course the day, the competition, the achievement that you can do together, sharing emotions, ups and downs, you miss that.
“I was a bit lost [once I had gone] because you wander, you have time in front of you.
“There are always problems to solve, when you have sorted one out there is another coming straight away and suddenly you don’t have that in front of you.
“Also there is always a next game as a target in your life.
“I took it as a challenge. I don’t like to look back, I always like to look in front.”
At 69 years of age, many expected the Arsenal job to be Wenger’s last.
However he has confirmed that he still wishes to get back into management.
He added: “People put you always in cases you know retired or finished.
“You know that when you hear people want to finish you completely yes.
“I think as long as you have an appetite for life you want to be useful and do something that is useful.
“And as well I believe that the big advantage we have I have from my experience 35 years without stopping in the game sharing what I know without the people.”