Shaun Wright Philips was all the rage in 2005. Wenger is a long-time admirer of Manchester City and England star Shaun Wright-Phillips.
But the Frenchman says his club cannot pay the £20m City are likely to want for the 23-year-old.
"It's true I follow his progress," Wenger added. "But his progress is much quicker than expected and unfortunately his price has gone up with that.
"I haven't been quoted a price, it's just what I read in the newspapers. But they say about £20m, so that has gone to levels we could not afford."
Wenger expects Wright-Phillips to become a key member of the England team.
"Can he replace David Beckham? In the future, he certainly will. He's already a threat for anyone in the England team," he said.
"Beckham is still the captain, the leader of the team, and he can play in different positions.
"But I feel that Wright-Phillips can be a threat for anybody as he can play right or left or as a second striker."