The 21-year-old winger joined Werder Bremen on transfer deadline day for £5million despite Wenger's hopes of keeping him.
Speaking on Facebook Live with BT Sport, Wenger admits he wanted to keep Gnabry but the player opted against renewing his contract.
He said: "We did not want to get rid of Gnabry. We wanted to keep him.
"But he was in the last year of his contract and we were very close to extending his contract.
"He changed his mind and went to Werder Bremen. I think we helped him a lot and if you asked him the question, he would certainly come out and agree with that."