Wenger, who sold Anelka to Real Madrid for £22m in 1999, revealed: "Nicolas wanted to come back here and I considered buying him because he wanted to put things right, but we have a strict policy that once a player has gone we have to accept it.
"We bought him in 1997 and he has since acknowledged that he made a mistake by leaving us. At the time, he was a regular in the France team ahead of Euro 2000, but then Thierry Henry came here and took his place in the team.
"Anelka didn't really make it at Real Madrid because he was not accepted there. He went back to Paris St Germain and it was up and down after that. He has never been at a club that had his class and he became disappointed. He is now back at the top level."
Wenger's comments will surely irritate Chelsea after their lengthy pursuit of the striker ended when they signed him from Bolton.