Bendtner spent the previous two seasons on loan at Sunderland and Juventus, but has featured sporadically for the Premier League leaders this term.
The 25-year-old was on the cusp of a move to Crystal Palace on transfer deadline day, but the Gunners pulled the plug on the deal after they failed to bring in another forward.
"I got extremely disappointed when he (Wenger) called, because I was set to move on," said Bendtner, who was also linked to Hull City and Eintracht Frankfurt.
"Actually I thought they didn't want to keep me. I had everything in place. There were three clubs who were just waiting that I would accept one of their offers."
Bendtner's only starts so far this season have been in the Capital One Cup, and he says he has to fight even harder for a chance to impress due to his lack of recent action.
He added: "I have to fight double in every match and I have got to score, to prove that I should get the chance from the start next time.
"That is difficult since I have hardly played for a year due to injuries, and neither have I had a pre-season together with the others in the team."