The Frenchman, currently under pressure as he heads for an eighth successive season without a trophy, has always stayed loyal to the Gunners.
Hoeness told The Sun: "We did try to get him at Bayern Munich a few times.
"Even before he went to Japan, Franz Beckenbauer and I went to Nice and discussed with him and everything was clear, but then at the end of the day he decided to go to Japan.
"We were very surprised. From Japan he went to Arsenal and over the years, whenever we were looking for a new coach, Wenger was always one we considered.
"He's a very serious person, very strong and has a very good idea about the game.
"There have been a few moments where we have discussed his name over the years.
"He has always remained loyal to Arsenal which is fantastic behaviour. But it is true we wanted him at Bayern a few times."