The Spaniard joined Chelsea for a reported £27m in June and has already looked a bargain by clocking eight assists in his first nine games for the Blues.
Arsenal had first refusal on their captain - who spent eight years in North London - upon his sale from Barcelona, and Wenger stands by his decision not to activate the clause.
"I don't regret not taking Cesc because we already had a lot of creative players in our midfield," the Frenchman, who signed Fabregas as a 15-year-old in 2003, told beIN Sports.
"Chelsea will also have a difficult period [in the season]. Our schedule was extremely difficult and I have the belief that we can close the gap to them."
In contrast to Fabregas's early-season form, Arsenal playmaker Mesut Ozil has endured a quiet opening to the 2014-15 season, and may not feature again this year after being ruled out for 12 weeks with a knee injury.
Reports earlier today have linked Ozil - a club record £42.5m signing from Real Madrid last year - with a January move to Bayern Munich.