Prior to the Sporting Lisbon teenager at the time signing for Manchester United, he had been contacted by Arsenal about a potential move, with Wenger even meeting Ronaldo and his mother for lunch at the Premier League side's training ground.
If he had signed for Arsenal in 2003 rather than United, it would have seen him play alongside Henry and the likes of Dennis Bergkamp, Patrick Vieira, Sylvain Wiltord, and Robert Pires.
Wenger has rhetorically asked what could have been if the mouthwatering attack of Ronaldo and Henry had actually been paired together.
"Of course I think what if, for example, Cristiano Ronaldo played with Thierry Henry, Pires, [Sylvain] Wiltord and Dennis. Maybe we score 200 goals in a season!" He said to BBC Sport.
"You regret sometimes, you think it's your fault that you didn't decide quickly enough or sometimes financially you couldn't agree quickly enough, but overall I must say you go to Chelsea, you go to Manchester United, you go to Liverpool...every club is full of stories like this."
As well as Ronaldo, in the past Arsenal have been linked with a number of players who they passed on signing who ended up becoming superstars.
Zlatan Ibrahimovic is an example, with the player taking umbrage to being asked to come on trial.
Wenger says it was perfectly normal not to make an offer right away as the big Swede was just 17 at the time.
"Not really, because he was a 17-year-old boy playing at Malmo in the second league in Sweden," the former Arsenal boss responded when asked if he regretted not just signing Ibra.
"And nobody knew him. We gave trials to many players at 17 – it was absolutely normal before you make a decision."