Wenger left the Gunners after 22 years as manager in 2019.
He told the Daily Mail: "Maybe when David Dein was sacked in 2007 that was the moment when I could have said bye-bye. I felt torn between my loyalty to the club and my loyalty to David.
"He asked me to stay but at first I didn't feel comfortable with the idea. I didn't understand why he had to go. But I knew as well that the club was going into a new stadium, the most sensitive period of its lifetime.