Arsenal were keen on securing the services of Vardy early in the summer window and the Gunners had decided to activate the striker's release clause in an attempt to sign the England international.
However, the transfer did not come into fruition as Vardy rejected the advances from Arsenal, preferring to sign a new deal with Leicester, and now the 29-year-old has gone on to reveal that he had some encounters with Wenger during Euro2016 following the snub.
Vardy said: "To be fair I spoke to him a couple of times in the hotels we were in while we were in France.
"It was just, 'Hi, are you all right?', and walk off to the match.
"It was basically every hotel. I think he was doing French TV for the Euros. It wasn't awkward, it was just a simple, 'Hello, are you okay?'. That kind of thing.
"It was a nice compliment they wanted to buy me. But my head and heart were saying stay."