Wenger left Arsenal after 22 years in charge during the summer with Unai Emery taking over in the Emirates.
Wenger had stagnated in Arsenal with Gunners who won the last Premier League under him in 2004.
They had tasted success in the FA Cup, lifting the trophy in three of the last five seasons.
Wenger is currently out of work with reports indicating that he knocked down the Fulham job this week.
It has now been claimed Bayern Munich has made an offer to the Frenchman among the uncertainty about Niko Kovac's position as head coach.
And Wenger has acknowledged that he lacks many general things that accompany the football driver.
"There are many things I do not miss at all," said Wenger BEIN SPORTS. "All that stuff around today, which you have to deal with.
"Of course, the day, the competition, the performance you can do together, share emotions, up and down, you miss it.
"I was a little lost [once I had gone] Because you are walking, you have time ahead of you.
"There is always a problem to solve, once you have sorted one out there comes another directly and suddenly you do not have it in front of you.
"There is also always a next match as a goal in your life.
"I took it as a challenge. I do not like looking back, I always like to look forward."
At the age of 69, many expected the Arsenal job to be Wenger's last.
But he has confirmed that he still wants to come back to the management.
He added: "People always put you in case you know you are retired or ready.
"You know that when you hear people want to complete 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 I also think that the big advantage we have with my experience 35 years without stopping in the game shares what I know without the people."