Le 10 Sport says Wenger turned down the offer to replace Setien as Barcelona boss.
The Frenchman left Arsenal in 2018 after 22 years in the Highbury and Emirates Stadium hot seats and has not taken a management role since.
But Barcelona's coaching crisis led to Wenger recently being approached about the possibility of taking over at Camp Nou in place of Setien.
The Catalan giants are one of a number of clubs to approach Wenger recently and be turned down by the 70-year-old.
The report adds initial discussions progressed well and Wenger was interested in the project before choosing to to reject Barcelona's offer.