The Frenchman parted company with the Gunners at the end of last season following 22 years in charge amid growing pressure from the club's fanbase.
In a revealing interview with RTL, Wenger confessed that he possibly outstayed his welcome in North London, while also revealing that he rejected the chance to manage France on multiple occasions.
Asked what his biggest managerial mistake has been, Wenger replied: "Perhaps staying at the same club for 22 years. I'm someone who likes to move around a lot, but I also like a challenge. I've been a prisoner of my own challenge at times."
On the topic of who he would ask for forgiveness, the Frenchman said: "All the people who I've made suffer. In my line of work, we are constantly making decisions that punish people, while making others happy.
"When you work with a 25-man squad, it's basically making 14 people unemployed every Saturday or Tuesday. Also, the players for whom I never managed to find the key to helping them reach their potential."
The long-ranging interview then turned to the subject of the France job, with Wenger revealing: "I've had the opportunity numerous times to be France manager.
"I'm not sure if it was before or after [Raymond] Domenech. Maybe both... I've always been more interested in the day-to-day aspect of management. I find it much more stimulating.
"It is a question I've been asking myself, if I should become a national team manager. A national team manager takes charge of ten games per year. In a club, you take charge of 60. My drug is the next match, so..."
Wenger, replaced at the Emirates Stadium by Unai Emery, won three Premier League titles and seven FA Cups during his time in charge.