The England forward, who scored twice during the 5-3 victory against Kosovo on Tuesday night, left Manchester City in 2017 despite being offered £35,000 per week to stay.
Wenger said on beIN Sports: "I wanted to take him from Man City when he didn't get the games.
"I tried to lure him because he's from London. I tried to get him to Arsenal.
"He's one of the best players of his generation. He can dribble, he has the arrogance.
"There's something in there that is part of the big players. You can call it arrogance, confidence, belief; but it has to be there."