Bayern sacked Niko Kovac after a 5-1 loss to Eintracht Frankfurt earlier this month and former Arsenal manager Wenger was linked with a move to the Allianz Arena.
However, the 70-year-old – who has been out of management since leaving Arsenal in May last year – ruled himself out of taking over at Bundesliga champions Bayern.
"I'm out of this. First of all, I never was candidate. I have been approached and I'm not in the running for the job," Wenger told beIN SPORTS.
"I'm not a candidate for the job."
Asked if that meant he was done with management, Wenger said: "No, not necessarily."
Hansi Flick has led Bayern to wins over Olympiacos in the Champions League and Borussia Dortmund in the Klassiker as interim coach.
Bayern are third in the Bundesliga, four points behind leaders Borussia Monchengladbach, after their 4-0 rout of rivals Dortmund.