Bayern are looking for a new boss following the sacking of Niko Kovac, with Hansi Flick taking charge of the 2-0 Champions League win over Olympiacos on Wednesday.
Wenger, out of work since leaving Arsenal in 2018, would appear to be one potential candidate, with reports indicating he could be appointed until the end of the season.
Speaking in his role as a pundit for beIN SPORTS, the 70-year-old revealed he had come close to taking the job in the past and could not rule out the move.
"I'd never refuse to talk to Bayern Munich because I have known the people who lead the club for 30 years," he said.
"I was nearly going to Bayern a long, long time ago. At the moment, that's all I can say. At the moment, I haven't talked to them at all."
Asked if talks could follow, Wenger replied: "I don't know. We haven't talked to each other and I don't know."
He added: "I want to just do what I like now. I've not decided yet if I will go back [to coach] on the pitch or not. I'm quite happy with what I'm doing but I miss the pitch as well.
"It's a difficult decision for me at the moment. I will make that decision in the coming days or in the coming weeks."
Wenger coached in his native France, with Nancy and Monaco, and then in Japan, with Nagoya Grampus, before a 22-year stay at Arsenal from 1996.
The Frenchman won three Premier League titles, enjoying a rivalry with Alex Ferguson's Manchester United, but struggled to repeat this success following the club's move to Emirates Stadium.
Wenger departed at the end of the 2017-18 season to be replaced by Unai Emery.