The Frenchman says he has hopes of taking charge of a national team.
He told beIN SPORTS: "Maybe, yes I will do it at some stage but until now I like to be involved every day in the life of a club. The real test is there. Four or five weeks [in a tournament] is a different experience, it is more concentrated.
"But I believe the real experience to manage a team is on a daily basis. I will not always have the physical strengths to do that so maybe I will move into that."
No matter when he walks away from Arsenal, he intends to remain in the game.
"I haven't decided but it is a fact that my life is linked with football," he said. "In what way, will be linked with my physical state.
"But until the end of my life, I will be in football. I don't know in what kind of...as a director, as a manager. As long as possible as a manager but one day that will stop. But I will stay in football, of course."
When it was suggested to him he could be on the bench at the 2022 World Cup in Qatar, Wenger joked: "Maybe. You never know. Maybe with you on my side. But not interviewing me during the game but as an adviser."