Sancho, who graduated through the youth ranks of Manchester City left the club to Borussia Dortmund after failing to hold a place in the first-team.
And with City wanting to keep him for a better future, the 19-year-old winger departed the side despite being offered £35,000 a week.
Since joining Borussia Dortmund, Sancho’s career has gone from strength to strength at the Signa Iduna Park as his arrival made Christian Pulisic warm the bench before the latter secured a permanent move to Chelsea.
In an interview with beIN Sports, Wenger revealed he attempted to lure the player to join him when he was the boss at Arsenal but his effort was fruitless.
"I wanted to take him from Man City when he didn't get the games.
"I tried to lure him because he's from London. I tried to get him to Arsenal.
"He's one of the best players of his generation. He can dribble, he has the arrogance.
"There's something in there that is part of the big players. You can call it arrogance, confidence, belief; but it has to be there."
Sancho is the current figure Wenger has revealed he nearly recruited having previously discussed moves for Cristiano Ronaldo, Kylian Mbappe, Zlatan Ibrahimovic and Lionel Messi when he was 16-years-old.
Dortmund signed Sancho from Manchester City in 2017 for a reported £8 million as he has scored 2 goals with three assists in three games thus far.