"We had some battles, which unfortunately Chelsea at that time won many times, but I would have loved to have played against Inter because they are a great side," Wenger said in a press conference televised on Sky Sports News.
Mourinho - who left Chelsea in September last year and joined the Italian giants over the summer - would also have relished the chance to renew old rivalries.
"Now that we are in different countries, we agree more times," he quipped.
"I agree totally (playing other teams in Europe) and would choose that for my pre-season.
"We have played against Bayern Munich and now we are against Dutch and the Spanish.
"It is a pity we cannot play also against Arsenal.
"I think it is very important to play against different philosophies of football and tactics, to make things difficult for ourselves.
"In pre-season I do not like to win 10-0, I like friendly matches against good teams and to make it difficult for ourselves."