The 70-year-old former Arsenal boss is reported to be high on Bayern's wanted list as they look for a replacement for Niko Kovac, who was sacked following the 5-1 thrashing by Eintracht Frankfurt.
The Bundesliga club are said to be looking at a deal to bring the Frenchman to the Allianz Arena until the end of the season, with former Juventus boss Max Allegri another name in the frame.
Wenger, who had been close to joining the Germans earlier in his coaching career, has been working as a pundit for beIN SPORTS.
The former Arsenal boss was in the studio to help analyse Bayern Munich's Champions League win over Olympiakos on Wednesday night.
Asked about the reports he was now willing to talk to the German giants, Wenger said: "I never refuse to talk to Bayern Munich because I know these people who lead the club for 30 years.
"I was nearly going to Bayern a long, long time ago. At the moment, that is all I can say.
"At the moment, I haven't talked to them at all. We have not talked to each other and I don't know (if we will)."
The veteran Frenchman has been out of football since leaving the Gunners during May 2018 after 22 years with the Premier League club.
Wenger is also considering a job offer from FIFA, but any such role would not prevent him from completing a return to management.
"I have not decided yet if I will go back on the pitch or not," he said. "I am quite happy at what I do. I miss the pitch as well, so it is a difficult decision for me at the moment.
"I will make that decision in the coming days or the coming week."
Pressed if he would be open to an approach from Bayern, Wenger replied: "I always talk - in fact I talk a lot here, I wonder why!"