The Londoners made a bid of £40m and one pound for the Uruguayan last August but that was rejected by Liverpool and he could line up against Wenger's side when the teams meet at Anfield in the Premier League on Saturday.
"You sometimes have regrets when players who played for you score goals or do well somewhere else," said Wenger.
"But he was never our player, it is a situation that didn't come off and that is it."
Asked if Arsenal might revisit the deal again at a future date, Wenger added: "At the moment no, no."
A positive result on Merseyside would further boost Arsenal's chances of winning the title for the first time since 2004 and Wenger believes they can go there in confident mood.
Jack Wilshere looks set to return after missing the last two games with an ankle injury he picked up in the FA Cup win over Coventry, while Kieran Gibbs could also be involved.
But Wenger is focused on a consistent run from now until the end of the season and insisted they deserve to be in the title hunt.
"In the Premiership now, every point is vital. But we enjoy that and we have fought very hard until now to be in that position. So let's just enjoy it and give it our best," said Wenger.
"I am convinced that, especially mentally, we are prepared and we have shown that throughout the season when we have had difficulties.
"Physically we are prepared but it depends how many injuries you have as you need to rotate."
Wenger is convinced Chelsea are still heavily involved in the title race, despite manager Jose Mourinho's protestations to the contrary.
Their 1-0 win at Manchester City on Monday ended the perfect home run of Manuel Pellegrini's side and Wenger insists he was justified in insisting there are no unbeatable teams in the top-flight this season.
"They are in there. You can move out (of the top positions) if you don't want but I think they are in there, of course," added Wenger.
"I told you that one month ago and you didn't believe me. There is no invincible team because there are so many quality teams in the Premier League.
"It is just how close you are to your best every time that decides the outcomes of the games."