"After careful consideration and following discussions with the club, I feel it is the right time for me to step down at the end of the season," Wenger told Arsenal's official website.
"I am grateful for having had the privilege to serve the club for so many memorable years. I managed the club with full commitment and integrity.
"I want to thank the staff, the players, the Directors and the fans who make this club so special. I urge our fans to stand behind the team to finish on a high. To all the Arsenal lovers take care of the values of the club. My love and support forever," he added.
Arsenal majority shareholder Stan Korenke has stressed that Wenger's decision to step down as the north London club's manager was the most difficult days for him. The American business also revealed it was because of the Gunners boss, they decided to invest in the Premier League club.
"This is one of the most difficult days we have ever had in all our years in sport. One of the main reasons we got involved with Arsenal was because of what Arsène has brought to the club on and off the pitch. His longevity and consistency over such a sustained period at the highest level of the game will never be matched," Korenke told Arsenal's official website.
"Arsène has unparalleled class and we will always be grateful to him. Everyone who loves Arsenal and everyone who loves football owes him a debt of gratitude.
"Three Premier League titles, including an entire season unbeaten, seven FA Cup triumphs and 20 successive years in the Champions League is an exceptional record. He has also transformed the identity of our club and of English football with his vision for how the game can be played.
"We have high ambitions to build on Arsène's remarkable tenure and to honor his vision by ensuring that Arsenal competes for and wins the biggest and most important prizes in the game.
"We must now focus on making a strong finish to the season and ask our millions of fans around the world to join us in paying appropriate tribute to one of the greats of Arsenal's history and one of the greats of the game."
During his time with the English club, Wenger has helped Arsenal win three Premier League titles, while won the FA Cup on seven occasions. His last title came more than a decade ago in 2004, during which they went unbeaten in the league throughout the season.
Unfortunately for Wenger, Arsenal have struggled to impress in the league. They are currently sitting sixth in the table with 54 points after 33 games. It is unlikely they will finish in top four and winning the Europa League is their only way to qualify for the next season's Champions League.
The Gunners will face La Liga outfit Atletico Madrid in the semi-final of Europe's second-tier club competition.