During the winter months of his 22-year reign in North London, the 69-year-old was handed a coat by the club to keep him warm as he prowled the touchline.
The three-quarter length coat was supposed to keep to cold at bay, but if only he could have actually done up the zip.
In an in-depth interview with beIN Sports duo Richard Keys and Andy Gray, they jokingly revealed everyone wanted to know if he ever managed to zip that coat up?
Wenger replied: "Yes! In fact, I managed to improve on that."
The Frenchman did admit feeling conscious about the battle he constantly had with the zip of his big winter warmer.
He continued: "Yes I was conscious of it because they were too long and sometimes the zip didn't work and I struggled a lot with that.
"But in the end, because people were showing it, I was conscious I was under scrutiny."
Wenger left Arsenal in May and despite being linked with roles at Paris Saint-Germain and AC Milan has not made a quick return to the game.
But the experienced coach is adamant he has not retired and will be back soon.
Wenger added: "I don't feel retired at all, I feel frustrated about the competition (lack of), I'm a competitor.
"There are many things I don't miss at all, but the competition, the achievement you can do together, sharing emotions and the ups and downs with others, of course, you miss that.
"I have one quality, I don't like to look back, I always look in front and I always try to think where is my next level now.
"The big advantage I have of my 35 years without stopping in the game is sharing what I know with other people."
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