The 68-year-old is stepping down from the Gunners hotseat at the end of the season, following a 22-year tenure at the club.
Wenger's first decade at Arsenal was especially fruitful, the club winning three Premier League titles, three FA Cup and four FA Community Shields under his stewardship.
From 2005-06 onwards, however, the North Londoners have not been as successful, enduring a nine-year trophy drought which coincided with a move from Highbury to the Emirates Stadium as well as a surge of money and increased globalisation in the English game.
Although Arsenal did go on to win three FA Cups between 2014 and 2017, the title has eluded them since 2004, and in recent years, the Gunners fanbase has become increasingly critical of Wenger's tenure at the club.
"It's a big job," Wenger told Sky Sport News. "The club has gone through the most difficult period in the last 10 years, building the stadium.
"I always felt that after 2016 that the club would be in a financial situation where we would compete again.
"What I could not predict is that clubs would move up another level financially that makes it more difficult now.
"But I still think Arsenal will come back and compete for the championship."
Wenger's final game in charge of the club will be away at Huddersfield Town on Sunday, May 13.