Former United chairman Martin Edwards states in his new book that the Arsenal boss was the man they wanted to succeed Sir Alex Ferguson when he announced he was stepping down at the end of the 2001/02 season.
Ferguson later changed his mind, staying on at Old Trafford for more than a decade.
Asked why he turned down the chance to join United, Wenger said: “Because I love the values of this club and, for me, a club is about values first.
“One day it would be a good chat to have with the press to look at the evolution.
“A lot has changed, but when I came here this club was about values that I love in sport. That is why I am still in the competition.
“So I always question myself. Yes, of course, Man United is attractive but am I happy here? The answer was yes.”
Barcelona, Real Madrid, Bayern Munich and Paris St-Germain have all been interested in Wenger.
He added: “I am always very confidential – one day maybe I will get all the contacts I had during my stay at Arsenal and it would make a few chapters.”
He claims he has never been tempted though, saying “I was always happy here - more than people were happy with me.”
In his book, ‘Red Glory: Man United and Me’ Edwards says: “Wenger did show a little bit of interest, enough to want to meet with both Peter Kenyon and me at his home in London to listen to what we had to say.
“In fact, we had a couple of meetings with him and for a while we thought there was a possibility of him joining us. But I think Wenger felt a loyalty towards [former Arsenal vice-chairman] David Dein.
“He was very close to David, and that was the reason he gave us in the end for turning down United.
“He felt that he had started something with Arsenal and that his attachment to the club was too great, he didn’t want to break that bond.”
