Tshabalala left Chiefs for Europe in 2018 at the age of 33 after over a decade of success with the Soweto giants but he admits that he felt the move should have happened after the 2010 FIFA World Cup.
Speaking to the South African Football Journalists' Association, the veteran playmaker confirmed that former Arsenal manager Wenger told him about the interest from the Ligue 1 giants, who at the time did not have the financial backing they now enjoy.
"I remember during the World Cup, Itu [Khune] and I had a shoot in Sandton at Radisson hotel. We bumped into Arsene Wenger. Obviously, you become starstruck when a person of that calibre recognises you," Tshabalala said.
"We had a chat for about five minutes and we spoke about the World Cup. He said I was a good player and I played well. He also recognised Itu and acknowledged him as well.
"He even said to me: 'I know that PSG wants you.' He wished me well and his agent took my number."
Reflecting on the first time the global showpiece was hosted on African soil, 'Shabba' lamented that the talented domestic-based core of the squad were unable to secure high-profile moves.
"I'm human, I was disappointed that my move didn't happen after the World Cup. I was hopeful and confident it would happen, the same with Itu [Khune], the same with Teko [Modise], Katlego [Mphela].
"We deserved to go abroad. It didn't happen and we had to accept [that] and move on."
With the move failing to materialise, deals with Nottingham Forest and Crystal Palace also fell through in 2011 and 2012 respectively, before he eventually joined BB Erzurumspor in the Turkish Super Lig in 2018.