Wenger allowed Spurs to sign Bale when he became available from Southampton during the 2006/07 season.
"Yes, we had considered buying him," Wenger told Al Jazeera Sport. "But we did not take him because we had Ashley Cole and Gaël Clichy at that time already and did not want another left back.
"But I admit that it was a huge mistake, we did not buy him. He is a very special player."