Wenger will this month celebrate 20 years at the helm of Arsenal, although if PSG had their way he could have been in the home dugout at the Parc des Princes when the teams meet in their Champions League opener on Tuesday night.
"I love where I am," French manager Wenger said when asked why he had knocked back PSG on as many as three occasions in recent years.
"I know well the owners but I feel always I remained loyal to Arsenal Football Club because I think it is a club that has the qualities I love."
PSG's Qatari owners are believed to have sounded out Wenger more than once about becoming coach in the French capital.
Back in 2008, well before Qatar Sports Investments took over the club, the appointment of Wenger's close friend Charles Villeneuve as president led to speculation that the Arsenal manager would follow him to PSG.
Tuesday's game will be the first time the clubs have met in the Champions League, although it was in Paris that the Gunners lost the final to Barcelona back in 2006.
"I like to come to Paris. It's a city I love, it's my country, it's a country I love," said Wenger.
"Paris Saint-Germain is as well a good test for us because it's the team who are always in France at the moment above everybody else."