Julio Baptista’s loan deal from Real Madrid has not been converted into a permanent transfer and the striker will return to the Spanish capital.
The 25-year-old Brazilian scored 10 goals in 35 appearances but most of his goals came in domestic cup competitions when Wenger fielded understrength line-ups.
“Arsenal have told me they are not able to buy me and so all I can do is return to Real Madrid,” Baptista told Spanish newspaper Marca.
Baptista joined Arsenal, with Jose Antonio Reyes moving the other way.
“I have enjoyed my season with Arsenal and in England,” added Baptista.
“I adapted well. I didn’t play much at first but finished much better. The first year is very difficult.
“The English league is very strong and very competitive with great teams. Manchester United and Chelsea are very strong and it is difficult to compete against their great squads.”