The 53-year-old Yugoslavia legend, who is managing Guangzhou R&F in the Chinese Super League, told AFP he came within a whisker of joining Swansea in 2015 -- and also turned down the chance to lead his native Serbia at this year's World Cup.
"No regrets, absolutely no regrets," the former midfield great said in an interview at the training ground of R&F, the Chinese Super League (CSL) side he has coached for more than three years.
Stojkovic, one of the finest players to come out of the former Yugoslavia, says he is happy in southern China, even if R&F -- who baulk at spending the "crazy money" of the country's football heavyweights -- sit mid-table in the CSL.
But the former Red Star Belgrade, Marseille and Nagoya Grampus Eight star admits that he sometimes misses elite European football and stays up into the early hours to watch Champions League and Premier League games.
Stojkovic said he was close to taking over from Garry Monk at Swansea until Bafetimbi Gomis's late header earned the Welsh club a shock 1-0 win at Arsenal in May 2015.
"I spent three times talking with the boss (of Swansea)," he said. "It seemed everything was okay and then Swansea won against Arsenal at the Emirates 1-0 so you'd be crazy to change the coach if you win there."
Enter the Dragan
Stojkovic was looking for work having spent six years in charge of Nagoya in Japan, where he also excelled towards the end of his playing career.
He was appointed coach of R&F in August 2015, taking up the position vacated less than a year earlier by ex-England boss Sven-Goran Eriksson.
"Then maybe 10 days after my signing here, I received a call again from them (Swansea). I said, 'It's too late now, my friend, I'm in China'.
"I said that I cannot change my decision, I am here now.
"But in the future, I don't know, we will see."
Stojkovic, a precociously talented playmaker who was robbed of his best form at Marseille because of injury, faced a dilemma this summer when Serbia came calling.
According to Stojkovic, his country wanted him to take over on a caretaker basis for the World Cup while keeping his job at R&F.
"Technically it was possible, but from the other side I think it would have been a little bit -- not unprofessional -- but a little bit not serious," he said.
"Nine out of 10 coaches will do that, they will accept, but I am the one of 10 who said no.
"One day, maybe (he will coach Serbia), nobody knows. One goal can change your life," he smiled, alluding to Swansea's surprise victory over Arsenal that shaped his career.
'Crazy money for crazy names'
Stojkovic describes former Arsenal manager Wenger as his coaching "mentor" and they remain close, having first teamed up in 1995 when the Frenchman was in charge at Nagoya.
"I had this privilege, but he had also the privilege to coach me," he said mischievously.
The two share the same footballing philosophy, which means giving youth players a chance, playing attractive, attacking football and not spending "crazy money for crazy names".
Wenger once named Stojkovic as the man to replace him at Arsenal, and while that never happened, the Frenchman's views shine through in Stojkovic, who wants R&F to produce "elegant, intelligent football".
"I try every day -- and it seems like I achieved that -- to create the most beautiful football in China," he said.
That takes time to forge but Stojkovic said patience is scarce in China, where some teams have spent heavily on big-money foreign players, such as the Brazilians Hulk and Oscar at CSL leaders Shanghai SIPG.
"People are waiting for success tomorrow, even yesterday if it's possible," he said, outlining the challenges of working in China and explaining why the country's football lags behind Japan.
"You cannot continue in five, 10, 15 years just to spend, buy, spend, buy, it's not good for football.
"They (Chinese clubs) should be better in organisation, timing, they should be more professional -- they must be to improve."