When asked by reporters why he chose to quit now, the 68-year-old simply said: "The timing was not really my decision, for the rest I've talked about already".
The club's all-time record goalscorer was mentioned as a possible replacement for Wenger last season, when it was reported that Josh Kroenke, son of owner Stan, was a big fan of his.More news: Malaysia releases images of suspects in Palestinian killing
Wenger said he would keep working in football beyond this season but did not specify whether he would take another managerial role. "So I wouldn't throw everything at it if I was Arsenal because Atletico are more than capable of picking them off and getting an away goal".
Arsenal's only chance of qualifying for next season's Champions League is by winning the Europa League. "My pride has always been to give my best where I am employed until the last day of my contract, and at the moment I'm just focused on that".
I mentally know what's going on, what people are saying and I'm really happy about that.
"Is there a ideal goodbye?" I will continue to work that's for sure.
But the Spanish right-back took to Twitter later that evening to make it very clear that nothing of the sort took place.More news: Saudi Arabia restricts drone operations following palace incident
"I honestly don't know what I will do".
The 68-year-old has never won a European trophy but said he hoped to do so primarily for his current group of players.
The Spain worldwide always seemed to be able to rile the Arsenal defence and was directly involved in red cards issued to Gabriel and Per Mertesacker during separate clashes between the teams.
Costa trained at the Emirates Stadium on Wednesday.
TEAM NEWS: Mesut Ozil, Jack Wilshere and Petr Cech are all available for Arsenal, but Henrikh Mkhitaryan, Mohamed Elneny and Santi Cazorla are sidelined.More news: Pelicans pick up Alvin Gentry's 2018-19 option
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