The Paris Saint-Germain star, who has netted 10 goals for the French outfit so far this season, made headlines after scoring a goal from a 30-yard overhead kick in Sweden's 4-2 win over England on Wednesday.
"He came here to visit the training ground," said Wenger. "He didn't want to make a trial because he was 16 years old at the time. He went home and we concluded to watch him again.
"I wanted to see him in training but it didn't stop him from making a great career. In the end, he chose to go to Ajax Amsterdam. That happens. He's not the only one in that case."
The 31-year-old has played for Inter Milan, Barcelona, Juventus and AC Milan during his career.