Former United chairman Martin Edwards revealed earlier this month that Wenger was his first choice to take over from Ferguson when the Scot initially hinted at retirement at the end of the 2001-02 season.
Ferguson eventually signed a new deal at Old Trafford and stayed with the club for 11 more years, but Wenger insists that a switch to United - at the time Arsenal's fiercest Premier League rivals - was never of any interest to him.
"I am always very confidential. Maybe one day I will get all the contacts I had during my stay at Arsenal and it will make a few chapters, but you should ask Martin Edwards," Wenger told reporters.
"No [I was never tempted by Manchester United] because I was always happy here. More than people were happy with me, I was always happy here. Because I love the values of this club.
"For me, a club is about values first and as well because I know what has changed. One day it would be a good chat to have with the press to look at the evolution. A lot has changed, but when I came here this club was about values that I love in sport and that's why I'm still in the competition. So I will always question myself. Yes, of course Man Utd is attractive, but am I happy here? The answer is yes."
Wenger led Arsenal to the double in 2002 before overseeing an unbeaten season two years later, but the Frenchman has failed to lift the Premier League title again since then.