Wenger stepped down as Arsenal boss last year after nearly 22 years as manager, having led the Gunners to three Premier League titles and seven FA Cups while he was in the hotseat.
During his time at Arsenal he was approached by Real Madrid to take the reins at the Bernabeu - several times, he says - but turned the Spanish superclub down to focus on the project at Arsenal.
In an interview with beIN SPORTS, it was put to Wenger that he had once turned down Real.
"I turned Madrid down more than once," the 69-year-old said.
"Now it's over for me. But you ask any manager in the world, they would be interested in managing the biggest club in the world.
"Everyone would say it's the biggest club in the world."
Asked whether loyalty had stopped him from upping sticks to Spain, the Frenchman said: "Yes. It was in the middle of a project.
"We built the stadium, we had to pay it back, and I guaranteed that I would stay, and I'm quite happy with my decision."