Wenger, 70, gave an evasive answer when broadcaster beIn Sports directly asked him about working at Bayern, who dismissed Niko Kovac on Sunday in the wake of a 5-1 drubbing at Eintracht Frankfurt.
According to German daily Bild, talks have taken place between Wenger and Bayern with club chairman Karl-Heinz Rummenigge leading the search to find Kovac’s replacement.
Wenger, who speaks fluent German, coached Arsenal from October 1996 until May 2018 and said that he misses some aspects of coaching.
While Wenger has enjoyed his year away from football, the satisfaction of winning matches and preparing players is “something you miss, of course,” said the Frenchman.
Meanwhile, Rangnick, currently head of sport and development at Red Bull and the previous sports director at Bundesliga side RB Leipzig, is reportedly the latest big name to turn Bayern down.
“Ralf is not available. We don’t believe that what Ralf Rangnick is all about is currently being sought by Bayern,” Rangnick’s manager Marc Kosicke told Bild.
“That why it doesn’t make sense to hold concrete talks.”
Rangnick joins Ajax coach Erik ten Hag and Paris Saint-Germain boss Thomas Tuchel by stating they will not leave their current jobs this season.
On Tuesday, club president Uli Hoeness said they expected to be able to name a new coach in time for Bayern’s trip to Fortuna Duesseldorf on November 23.
Former Real Madrid and Manchester United manager Jose Mourinho and ex-Juventus coach Massimiliano Allegri have also been linked to the job by the German media.
Former Germany assistant coach Hansi Flick took over as interim coach for Wednesday’s 2-0 Champions League win at home to Olympiakos.
He will also oversee Saturday’s Bundesliga match against second-placed Dortmund at the Allianz Arena. Bayern are currently fourth in the table.
Before kick-off on Wednesday, director of sport Hasan Salihamidzic refused to confirm whether Wenger and Rangnick have been approached.
“We don’t comment on rumours,” said Salihamidzic.
However, he revealed Flick could stay on longer as caretaker coach should their preferred candidate only be available next season.
“We’ll see. I am glad Hansi Flick is here. At the moment he is the right coach.”