The Frenchman announced his intention to step down at the end of the season last Friday in a shock statement on the clubs website.
Arsenal take on Atletico Madrid in the Europa League semi-finals on Thursday and its Wengers final chance to lay his hands on European silverware.
The Gunners reached the Champions League final against Barcelona in 2006 and were leading 1-0 with 15 minutes to play despite being down to ten men after Jens Lehmanns red card.
However, Henrik Larsson inspired a late comeback after coming on as a substitute and Wenger says the night in Paris is his biggest regret.
It was my biggest regret, said Wenger.
We played [on the way to the final] Juventus with Ibrahimovic and Trezeguet up front and against Madrid with Zidane, Figo, Ronaldo with a team where the difference looks bigger than it does today.
It would have been my greatest achievement. But you have to be realistic. We were in the Champions League final. If you look at Arsenal and the number of games we have played in Europe, in the whole history, you will see its not Real Madrid. So we have to be conscious of that.
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David Ospina looks set to keep his place in Arsenals Europa League side to face Diego Simeones men on Thursday.
The Colombian has been used in the cup competitions this term ahead of Petr Cech but Wengers set to resist the temptation to play his first choice.