The Gunners expressed interest in signing Messi back in 2003 when he was still in the Barcelona academy.
Their move ultimately collapsed due to ‘work permit’ issues, however, and Messi went on to become Barcelona’s greatest player and one of the most decorated players in history.
The Argentine legend – who confirmed earlier in the month he will remain at Barca despite handing in a transfer request – has scored 634 goals in 731 appearances.
Messi has also won ten La Liga titles, four Champions Leagues and the Ballon d’Or award five times.
Wenger has claimed Arsenal were ‘close’ to signing Messi and while former scout Cagigao says that is a slight exaggeration, he admits talks were held.
‘I think Arsene stated while manager that we were close to signing Messi [in 2003]. I wouldn’t go as far as saying we were close,’ he told BBC Sport.
‘We were there or thereabouts and discussions took place with his representatives. He had issues with a work permit, so that was discarded.’
Cagigao, who spent 24 years at Arsenal before leaving the club last month, also described former Gunners star Santi Cazorla as ‘one of the most talented players’ he has seen.
Cazorla spent six years at Arsenal – helping Wenger win two FA Cups – but injures plagued his spell in north London.
‘I think he is one of the most talented footballers I’ve ever seen, Cagigao added.
‘He is really an exceptional figurehead and someone who young players can really look to. There were doubts about Santi.
‘People would say he’s so small, he’s not the quickest, he’s not strong, but he has an exceptional football brain, exceptional technique and he’s a winner.’