The Frenchman will take charge of his final Arsenal game when his side travel to face Huddersfield on Sunday, bringing down the curtain on nearly 22 years at the helm.
Wenger admitted to finding aspects of his exit "strange" but has learned to keep his emotions in check.
The Frenchman will be leaving on a low, with Arsenal losing a seventh straight away game yesterday morning (Singapore time) - 3-1 at Leicester City - their worst run in over 50 years, reported Reuters.
Wenger has previously said he will continue working in football but won't make a decision until this summer.
Wenger said that the Premier League had become "the world championships" of domestic leagues and that there would certainly be "a European league over the weekends and the domestic leagues will play Tuesday and Wednesday".
Wenger has signed his past two Arsenal contracts amid supporter unrest over his continued leadership - but on both occasions the deal has not been agreed until the end of the campaign.
He engaged in long-running feuds with Jose Mourinho and Alex Ferguson, while battling several bosses in touchline rows that turned physical. "But I am very passionate and at a very young age I realised that if I want to survive in this job I have to get control over my emotions or I will not survive", he told his final pre-match news conference.
"But if you have Real [Madrid] v Barca, or Real v Arsenal, or Manchester United v Bayern Munich every week the audiences will be good". That helps me a lot.
"That helps me a lot because I went through some fantastic periods in my life, as well as more hard periods". 'You can say it's sad but if you look in an objective way for 22 years you have a privilege to manage (Arsenal). "That's the thing that matters".