Wenger held talks with United over becoming the successor to Alex Ferguson in the early 2000s, ultimately deciding to stay with the Gunners.
The Frenchman faces United for the last time in the Premier League on Sunday, before finishing a near 22-year stay at Arsenal at the end of the season.
And the 68-year-old says he does not regret rejecting the opportunity to become United boss due to his strong feelings for Arsenal.
"No, because Arsenal is the love of my life," Wenger told reporters.
"I turned many, many, many clubs down to stay here and to face the challenge when we built the [Emirates] stadium.
"I don't regret that because it's just the way I see my life and what is important to me.
"Yes, I met [then United chairman] Martin Edwards but many people came to see me at my home, but I was always loyal to this club."
The rivalry Wenger had with Ferguson led to less-than friendly receptions on trips to Manchester, but the Frenchman is not sure what kind of reaction he will get on his final visit.
He added: "I always got a very good reception [at Old Trafford]. I don't know what kind of reception I will get, we'll just be focused on winning the game.
"We've had some great battles in 22 years. If I get a good reception, I'll take it."
Wenger has had numerous run-ins with United boss Jose Mourinho, as he did with Ferguson earlier in his Arsenal career, although the Portuguese has said he regrets "negative episodes" between the pair.
"It depends," said Wenger when asked if he could become friends with Mourinho, as he has with Ferguson.
"I respect him of course, I respect him a lot, but I don't want to go into individuals, you should give me a little bit of peace in my final weeks and not try to push me into a confrontation. I want to go peacefully, with Mourinho as well because he is a great manager.
"I'll say goodbye to everybody. In France we say au revoir, which means you might see me again."