Wenger has been out of football management since leaving the Gunners in 2018, ending a 22-year spell with the club where he won three Premier League titles.
Since the Bavarians sacked Kovac after a 5-1 thrashing at the hands of Eintracht Frankfurt, the likes of Wenger, Jose Mourinho and Massimiliano Allegri have all been linked with the job but Wenger says he is not in the running.
"First of all, I was never a candidate, I was approached but not in the running for the job," Wenger told beIN SPORTS.
"That is clear and definite, but it does not necessarily mean I am done with management."
Hansi Flick has taken charge of first-team matters since Novak's exit and has overseen a 2-0 victory Olympiakos and a 4-0 thrashing of rivals Borussia Dortmund.
Bayern CEO Karl-Heinz Rummenigge has revealed Flick will remain in charge at the moment.
"We will continue working with Hansi Flick until further notice. He said two games was his first finish line. Well he has crossed that line tonight with flying colours, and now we will calmly continue with him."