Wenger said he almost signed Ronaldo in 2003 before he ultimately joined Manchester United, where he won four Premier League championships.
"My biggest regret? I was so close to signing Cristiano Ronaldo, and not only did I not get him, he signed for Manchester United. So that of course still hurts today," he stated.
Ronaldo, who won the Ballon d'Or last year, currently plays for Real Madrid. He helped lead Los Blancos to a Champions League title last season.
Wenger also said he wishes he could have coached Chelsea's Didier Drogba, who has had a number of memorable performances against Arsenal over the years.
"I would have loved to have managed Didier Drogba for two reasons," he continued. "One, I missed him when he played in France at Le Mans, not even in the top league. I knew there was a good player there and I missed him.
"Secondly because he hurt us so much in the big games. All this pain would not have happened [if he had joined Arsenal]."
Arsenal is currently tied for seventh in the Premier League with six points. They play Aston Villa on Saturday.
- Paul Palladino