Arsenal legend Wenger quit the club after 22 years back in May, with Unai Emery installed as his replacement.
The Frenchman won three Premier League titles during his time at the club, with the last coming back in 2004.
In 2003, however, they were pipped to the prize by Manchester United.
And the Arsenal icon has now revealed that the Red Devils scooping the title actually led to a confrontation with his players.
“Effectively we were unbeaten for a year and a half. 49 games,” he said, referring to the 2004 triumph.
“It’s an interesting detail because when we won the title in 2002 I told the press my dream was to win the title unbeaten.
“I got lambasted as pretentious, arrogant etcetera. We lost the title the next season to Manchester United. In 2003/04, I asked the players why we didn’t win the title. They said, ‘it’s your fault’. I asked why.
“They said: ‘you put too much pressure on us.’ And it’s interesting because I told them the only reason I said it was because I truly believed it. And then they did it. Which proves two things.
“One, sometimes we don’t put the level of ambition high enough. We don’t dare, we’re scared. But you must set the bar as high as possible.
“Two, sometimes you must plant the seed and wait for it to grow.”
Wenger also opened up on his Arsenal regrets.
“I regret having sacrificed everything I did because I realise I’ve hurt a lot of people around me,” he said.
“I’ve neglected a lot of people. I’ve neglected my family, I’ve neglected many close ones. Deep down though, the obsessed man is selfish in his pursuit of what he loves.
“He ignores a lot of other things. But it’s a bone to chase at the same time.
“Often, I’m asked if Thierry Henry and Patrick Vieira will be good managers and I always answer yes. They have all the qualities; they’re intelligent, they know football, they have excellent skillset, but do they want to sacrifice what needs to be sacrificed. It’s an obsession which bounces around your head day and night.
“You wake up at 3am thinking about team selection, tactics, formation…”