Wenger has paid tribute to the departing attacker, who he insists can leave with his head held high following some happy times at Arsenal over the past decade.
"My memories go for over 12 years," he told reporters at his weekly press conference. "Personally, I'm very attached to Theo because he's intelligent, has complete integrity. I remember he arrived at the age of 16 and went to the World Cup straight away.
"He scored important goals in big games, you talk about FA Cup finals, Champions League games, local derbies. I regret what happened but he didn't play enough recently. I wish him well and thank him for everything he's done for us. He's always welcome here."
Walcott admitted to being "sad" after calling time on his Arsenal career, which saw him net 108 goals in 297 appearances.