Wenger is leaving Arsenal by the end of season
Wenger said his failure to win the Champions League during his time in charge of the Gunners is his greatest regret.
The 68-year-old over the weekend announced he would be stepping down at the end of the season.
The North London side will lock horns with Atletico Madrid in the Europa League semi-finals on Thursday.
The competition is Wenger’s final chance to lay his hands on European silverware.
He told reporters on Wednesday that his failure to win the Champions League in 2006 is a “biggest regret.”
“We played [on the way to the final] Juventus with Ibrahimovic and Trezeguet up front and against Madrid with Zidane, Figo, Ronaldo with a team where the difference looks bigger than it does today.
“It would have been my greatest achievement. But you have to be realistic. We were in the Champions League final.
“If you look at Arsenal and the number of games we have played in Europe, in the whole history, you will see it’s not Real Madrid. So we have to be conscious of that,” he said.