Eden Hazard had been strongly linked to Arsenal before his move from Lille to Chelsea in the summer of 2012.
"It was not feasible for us financially," said Arsene Wenger.
Chelsea paid a reported £32 million for Hazard's signature, on a deal said to be worth around £150,000-a-week, and Wenger said that was not possible for his club at that stage.
Hazard is expected to win Player of the Year honors in the EPL.
"I have no big regrets because, at the time, there was so much so much money involved we could not afford it, and not defend it, honestly," Wenger said ahead of Sunday's meeting with Chelsea.
"It was linked with all the environment. It was not feasible for us financially."
Via ESPN