Wenger was eventually relieved of his duties by the Arsenal board in the summer of 2018 after failing to mount a serious challenge for the title for several seasons.
And the 70-year-old is yet to go back to the club since his exit, despite still being held in high regard there.
"I will go one day," Wenger told The Times.
Asked if he has been invited, he responded: "Yes. But I thought it was better to cut completely. It was difficult at the start, of course, after leading my club as long as I did. But I thought it's better to follow from a distance."