However, Wenger has been in charge of Arsenal for the last 21 years and appears to have no interest in swapping the Emirates for a tilt at the World Cup just yet.
"Maybe one day I will do it at some stage but until now I like to be involved every day in the life of a club because the real test is there", he said.
It's not the first time the Frenchman has been linked with a job in global football, having had his name mentioned with the England job on a few occasions.
But could Le Professeur be tempted with a move into worldwide football, once his days at the Emirates come to an end? But one day that will stop.
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However, City's large squad means he has started just six Premier League games this term so could be tempted by more regular football in north London.
The Frenchman added: "Yes of course [I'd be tempted] because my life is linked with football and, depending on my physical state, I will [always] be in football".
"On Alexis, you know my opinion, but he's an Arsenal player - so it's not correct to talk about that - especially before we play them". I don't know in what kind of.as a director, as a manager.
Wenger was up there among the bookies favourites when Roy Hodgson resigned in the wake of England's exit at Euro 2016, but he eventually chose to stay in club football.
Arsène Wenger, who talked a year ago about the idea of being England manager, has spoken of the possibility of a move into global football and being involved at the 2022 World Cup.