The Arsenal manager, whose side face the Premier League champions at Wembley, has the opportunity to land the trophy for a seventh time.
But Wenger has not kept any of his medals from previous finals and will not break the habit of a lifetime even if today’s game ends up being his last in charge of the club.
He said: “I have no medals at home – from anything. You come to my home, you will be surprised. There is no trophy, no medal, nothing.
“I always give them out. There is always a guy at the club who did not get a medal. A member of staff. I have given it to him.
Arsene Wenger admits he never holds onto his medals
Arsene Wenger could become the most successful cup boss in history if his side beat Chelsea
You will always find someone who takes it
“You will always find someone who takes it. Who will I give it to? I have first to earn it. But either way you get a medal, loser or winner. It’s all instinctive.”
Wenger has yet to confirm whether he is staying or going, although the smart money is on that he will sign a new two-year deal.
He said he might one day regret not holding on to any memorabilia when he finally quits the club.
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Stormzy gig, Amsterdam
Wenger said: “Maybe. Maybe one day I will have to look back. It depends on my health. I will not always manage but I will always be involved in the game.
“I watch the game that is on on the night but I don’t look back what we have won, what we have done and all that. What we have lost.
“I am not back looker. I am always forward. You would not even guess that I am a football manager. Apart from the fact that a football game is on.”