Wenger's 22-year reign with the Premier League side came to an end last weekend and since then he revealed that in an ideal world the Gunners could have boasted two superstars that have dominated European football over the past decade.
Ronaldo was said to be in advanced contract talks with the London based outfit before he impressed during a UEFA Champions League group stage fixture against United - which prompted Sir Alex Ferguson into pricing his side out of the deal.
"The obvious player [Arsenal missed out on] that comes to mind is Ronaldo," he told the club's website on his biggest transfer regrets.
"He was here with his mother and we were very close. Then Man United came in and they had Carlos Queiroz at the time, who was their coach. United played against Sporting Lisbon and Ronaldo was outstanding and they signed him.
"There is always something you could have done differently, but the problem of negotiations is to know when you give in and when you don't give in.
"Once we were at £4.5million, we were still in negotiations. David [Dein] met with [agent Jorge] Mendes in Paris and he was representing Sporting, so we were very close. But Man United went to £12million, which we could not afford at the time."
On the Barcelona deal which brought Cesc Fabregas to the club, Wenger revealed he was keen on Lionel Messi and Gerrard Pique, with the latter also opting to join the Red Devils.
"I met Cesc's [Fabregas] parents and at the time we were interested in Messi and [Gerard] Pique as well. We tried for the three but of course it didn't work out...because of the agents.
"With Messi, Barcelona didn't want to lose him of course and they made [the offer] that was needed to keep the player at the club."