Bale, who netted a stunning pair of free-kicks to help Spurs beat Lyon 2-1 in the Europa League, has been earning rave reviews including comparisons with the world's greatest players.
The Welsh midfielder was on Arsenal's radar before he joined Tottenham from Southampton, with Wenger opting instead to buy academy team-mate Theo Walcott.
Wenger maintains he has no regrets over that decision, but does accept that Bale has developed into an exceptional talent.
The Arsenal manager said: "Bale has the potential to develop and become the players that you compare him to.
"However, Messi has won two or three Champions Leagues, a few championships, scored 95 goals in a year, so let's not go too quick.
"You are always very quick here, but let's slow down a little bit."
Wenger stands by the decisions he made in taking Walcott to Arsenal instead of signing Bale from Southampton's academy.
"It was Walcott and Bale, and we were at some stage on (about) taking the two if possible, but we could get Walcott and I am very happy we got him," he added.
"If I tell you the number of players we did not sign who we should have signed, you would be amazed, but it is the same for every single club, you miss players."