The Frenchman will take charge of the Gunners for the final time when they take on Huddersfield Town at the John Smith's Stadium in Sunday's Premier League finale.
Wenger, whose meeting with the Terriers will be his 1,235th game as Arsenal boss, believes that he is no longer "part of the future" at the Emirates Stadium and will be looking for a new challenge.
"I need to look forward, I am a guy that does not look back much," Wenger told Sky Sports News. "Everywhere I have worked, I have done that.
"But I need a new project, I need to commit my energy to something else and now I think it is time for me to move away because I am not part of the future any more. So the quicker it finishes now, the better it is.
"I have to accept [leaving the club], it is part of the process and somebody has to come in now and take care of the future. When you are not part of that, it is better that it finishes and you move somewhere else."
Wenger took charge of Arsenal in 1996 and has steered the Gunners to three Premier League titles, seven FA Cups and seven Community Shields.