It's well known that moves for the likes of Gianluigi Buffon, Cristiano Ronaldo and Zlatan Ibrahimovic never materialised.
Despite that, the Gunners had an awful lot of success under their French boss.
Just this week though, Wenger has revealed perhaps the biggest move he failed to complete - one for Barcelona's Lionel Messi.
"We were in discussions with [Messi] when we bought Fabregas, because Messi played [with him]," the ex-Arsenal manager said, per the Mirror.
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"You can realise sometimes what fantastic youth teams you had before when you’re a club like Barcelona. In the same team, Messi, [Gerard] Pique and Fabregas.
"Pique and Fabregas came to England [with Manchester United and Arsenal respectively], Messi stayed in Spain. We were interested in him, but he was untouchable at the time."
Of course, the likes of Messi, Ronaldo and Zlatan aren't the only players Wenger failed to sign in his 22 years. In fact, you can make a whole starting XI of Arsenal's failed deals. Check it out below.
Here's a little bit of background on the team, too.
The legendary keeper once expressed his desire to join Arsenal if Juventus were ever to show him the door. That didn't happen until 2018, and the Gunners were stuck with Manuel Almunia instead.
As Wenger said, Arsenal were interested in Pique before he joined United. Imagine if the north London side had signed all three players!
The Brazil legend once said it was a 'dream' to play for Arsenal after his Real Madrid contract expired. He joined Fenerbahce instead.
Manchester City's legendary captain nearly signed for Arsenal as a teenager from Anderlecht. Unfortunately, Wenger wasn't keen on the £5m transfer fee.
In 2009, it looked like Gareth Barry was on his way to Liverpool, and that left Alonso fearing for his future. He travelled down to London looking to secure a £15m move to Arsenal.
Barry's move to Anfield fell through and instead, it was Mikel Arteta who joined Arsenal.
Kante has previously revealed that Chelsea weren't the only London club interested in signing him after a title-winning season.
Wenger has also admitted the Frenchman was on his radar, but the interest just wasn't strong enough.
Angel Di Maria
Di Maria may have moved to United in 2014 for nearly £60m, but way back before he was an international superstar, he was just a work permit away from joining the Gunners at 17.
A young Ronaldo was once shown around Arsenal's training ground and given a shirt with his name on the back.
A £4m fee was agreed with Sporting Lisbon too before the Portuguese side played United in a friendly. Sir Alex Ferguson was so impressed with Ronaldo's performance and the rest, as they say, is history.
Need we repeat Wenger's quotes from above?
While Drogba was playing for Le Mans, the ex-Gunners boss regularly went to watch him but decided he wasn't ready for a club of Arsenal's stature, despite being available for just £100,000.
No wonder the Ivorian loved scoring against Arsenal.
Wenger once famously asked Ibrahimovic to participate in a trial match at Arsenal. He was met with the response "Zlatan doesn't do auditions."
What could have been, Arsenal fans?News Now - Sport News