But not lifting the Champions League remains his biggest regret.
Arsenal reached their only Champions League final under Wenger in 2006, losing 2-1 to Barcelona in the Stade de France.
The Gunners lead after 37 minutes through Sol Campbell’s strike, despite having been reduced to ten men following the sending off of goalkeeper Jens Lehmann after just 18 minutes.
But Samuel Eto’o would equalise with 13 minutes remaining in the game, before substitute Juliano Belletti scored the winner in the 80th minute.
Speaking to BT Sport, Wenger said: “My biggest regret is that I have not won the Champions League for Arsenal… I was 13 minutes away.
“The other regret is perhaps the way we went out against Atletico Madrid. I still don’t understand how we could lose this two-tie game. We should have been done after the first game.”
Watch BT Sport’s interview with Arsene Wenger on BT Sport Score on 13 May.
BT Sport Score is on air from 2.45pm on BT Sport 1 and Twitter. BT Sport is where the best go head to head, bringing you live coverage of the Premier League, Uefa Champions League and Uefa Europa League. Visit www.BT.com/sport