The 18-year-old winger has emerged as one of England’s hottest prospects after quitting the Etihad Stadium for Borussia Dortmund in 2017.
He has scored nine goals in 40 appearances for the Bundesliga giants but his career could have taken a different turn had Wenger succeeded in signing him.
“It’s an incredible story because the pressure now on these young boys from an early is very big,” Wenger said.
“The second thing is the pressure from all the clubs – I say that freely because I wanted to take him from Man City when he didn’t get the games.
“I tried as well to lure him because he’s from London. I tried to get him to Arsenal, I must say.
“They get a lot of money before they have played games. It doesn’t improve the Hunger Index.
“I must say for these boys it’s a test because they are rich before they play.”
Sancho joined Borussia Dortmund from Manchester City for around £8m on the final day of the summer transfer window in 2017.
He made his debut for the German club three months later and quickly established himself as a regular.
England boss Gareth Southgate rewarded Sancho with his maiden England cap last October.
And Wenger believes he has the “arrogance” to make it to the top.
“He’s one of the best players of his generation,” the former Arsenal boss told BeIN SPORTS.
“He can dribble, he has the arrogance, look at the boy, there is something in there.
“That is part of the big players – you can call that confidence, arrogance, belief.”