Knee problems caused the 42-year-old to finally call time on his career, but he spoke about Arsenal's interest during an interview with Piers Morgan.
Speaking on Piers Morgan Uncensored, he said: "Wenger invited me but I didn't go to Arsenal. I don't do trials.
"No, no, you don't understand, I don't do trials. I am the best. F*** the rest."
He previously told Sky Sports Italia about the story: "I went to London for an appointment with Wenger, who asked me to audition for the Gunners.
"I told him 'I will not do a trial: either you take me or not, I'm not here to waste time.'"