The 68-year-old will step down following Sunday's clash at Huddersfield, ending a spell of almost 22 years in charge of the Gunners.
Since news on Wenger's departure was made public last month, the Frenchman has refused to be drawn on what he intends to do after leaving Arsenal.
A break from the game looks likely but, despite suggesting management is where his heart lies, Wenger would not rule out the possibility of a different role - whether that be higher up within the structure of a club or working as a general manager somewhere.
Asked if it was his desire to remain as a day-to-day manager, Wenger replied: "That is what I have to decide.
"I have not made the decision so at the moment I would say 'yes', spontaneously 'yes'. But maybe with a distance I will think: 'no, maybe it's a time to change a little bit of direction.' Honestly, I can't give you an answer. I don't know."
The Frenchman added: "But I enjoy going out there every day, of course. You know I didn't miss a training session in 22 years, I never stayed in my office. Every day I was out there. That is something that I will miss."