The 69-year-old has been out of work since departing the Emirates in May, although he told Sky Sports he expects to return to the game early next year.
His current spell away from football is the first time he has not been coaching in over two decades, and he told beIN Sports: "I remember very well. I was a bit lost because you have time in front of you, which was never the case before.
"You always have a problem to sort out and when you have sorted it, there is another one coming straight away. The next game is always a target in your life.
"It's very difficult, but I took it as a challenge. I don't feel retired at all, I'm basically a competitor."
While Wenger says he will shortly be taking on his next role, he also admits he does not miss everything that the job entails.
He said: "There are many things I don't miss at all, like all the stuff around the game you have to deal with nowadays.
"But the day, the competition. The achievement that you can do it together, sharing emotions, sharing competitions, ups and downs - you miss that."
By Skysports.com
