The Frenchman was speaking to fans via a Q&A session on the North London outfit's Twitter page, where he was asked what he liked to do away from the pitch.
"It is to read or watch political debates, or to walk or be outside in the nature," said Wenger.
The 64-year-old was also asked whether he preferred to listen to music or watch a movie.
He responded: "I don't have a preference, I don't listen to much music and I don't watch films!"
Wenger's side are currently at the top of the table.