The Frenchman will be stepping down at the end of the season, with his final match taking place in Sunday's Premier League curtain-closer at Huddersfield Town.
Wenger admitted that his final home game as Arsenal boss, the 5-0 win over Burnley, made him "very emotional".
Nonetheless, the 68-year-old will be trying to focus on the privilege of having managed the Gunners for so many years in his swansong fixture.
"That is my next challenge," Wenger told Sky Sports News. "If I look back, I would cry, but I will try not to. I will fight against it, but I was very emotional last week and I survived.
"I am a normal human being and I had the privilege to work for 22 years for this club and that is not common.
"So rather than feeling sorry for myself, I should be more grateful for what life has given to me and the privilege I had to do the job I love absolutely passionately for so many years. I should laugh and say thank you very much."
Wenger took charge of Arsenal in 1996 and has steered the Gunners to three Premier League titles, seven FA Cups and seven Community Shields.