Arsenal is yet to name Wenger's successor as the club faces its first managerial appointment since 1996.
Arsene Wenger watched Arsenal beat Burnley 5-0 in his final home match in charge on Sunday before telling fans: "I will miss you."
Wenger is leaving Arsenal after 22 years in charge and he now only has two away fixtures remaining before signing off next Sunday after his lowest-ever Premier League finish in sixth.
The failure to win the title since 2004 has proved costly for Wenger and the Frenchman was presented on the Emirates Stadium pitch with a miniature gold version of the trophy to celebrate the unbeaten Invincibles season 14 years ago.
Wenger and Arsenal have been coy about what directly prompted his departure with a season remaining on his contract.
"Thank you for having me for such a long time," Wenger said in an address to fans. "I know that's not easy! Above all I am like you: I am an Arsenal fan. That means this is more than just watching football, it's a way of life. It is caring about the beautiful game, about the values that we cherish.
"I would like to thank everybody at the club who makes this club so special. I would invite you to really push to support the players and the staff who will remain behind me. For me these football players have a special quality, not only on the pitch but off the pitch."
Pierre-Emerick Aubameyang scored twice against Burnley, with Alexandre Lacazette, Sead Kolasinac and Alex Iwobi also netting.
Arsenal is yet to name Wenger's successor as the club faces its first managerial appointment since 1996.
"Please follow this team and support them next season because they deserve it," Wenger said. "I would like to finish by saying I will miss you. Thank you all for being such an important part of my life. I hope to see you soon. Well done. Bye bye."
Wenger is bequeathing his successor a place in the Europa League, rather than the Champions League.
