Many say the move to Emirates stadium has hurt the club.
Wenger told BBC Sport: "I accepted it because I thought it was a challenge. The first 10 years we were competing to win the championship but I knew the next 10 years would be more difficult. I believe we played outstanding football, we were in position sometimes to win the league but we were much younger [as a squad] overall.
"I may be even prouder of the second part of my career than the first part because the first was easy. The second was tougher and I was really tested in my resilience. I'm very proud to have served the club during such a delicate stage.
"I have chosen to keep a complete distance. It doesn't mean emotionally, just physically. It's important people don't see you as a shadow. It may look like you're still trying to influence things and have your way. I felt that the best thing to do is cut it away."