He was wrong. Half a year on, the 47-year-old German finds himself back in his home country in charge of Schalke, the iconic Bundesliga club with whom he once won the UEFA Cup as a player.
"There weren't many clubs in Germany which I would have found as exciting as the Premier League, but when Schalke made contact, I made my decision quickly," Wagner said, answering AFP questions ahead of the beginning of the Bundesliga season this weekend.
"I know the region, I know how people tick here."
Wagner, who was once Juergen Klopp's assistant at Borussia Dortmund, delighted football romantics the world over when he led lowly Huddersfield to Premier League promotion in 2017 and then kept them up.
Back in Germany, he faces almost the opposite task. Having inspired the Yorkshire minnows to punch sensationally above their weight, he now needs to cure sleeping giants Schalke of their chronic underachievement.
From his two years playing there in the 1990s, picking up a UEFA Cup winners medal in the 1997 final, Wagner knows how big expectations are around the Gelsenkirchen club.
"The emotions and the community at the club are the same as it ever was, and the expectations are justifiably big considering the club's long history," he said.
"On the other hand, the recent history calls for a bit of realism."
A grand old darling of Germany's industrial Ruhr region, Schalke have lurched from crisis to calamity in recent years.
Wagner is Schalke's seventh coach in five years, and many fans quietly fear that his appointment will prove to be another false dawn.
Though determined to prove them wrong, he has warned that he will provide no quick fix for Schalke's troubles.
"The club has definitely had difficulties in the recent past, but that means it is also open to change. But we know that change won't happen overnight."
Just a few weeks after making those comments, Wagner had his first taste of just how difficult life at Schalke can be.
In August, the club were dragged into a racism scandal after chairman Clemens Toennies made highly controversial public comments about Africa.
Toennies stepped down for three months, but the scandal completely overshadowed Wagner's debut in the dugout, as fans demanded the chairman's permanent resignation at a cup game last Saturday.
Rather than focusing on football, Wagner has thus spent the last week treading a difficult political line between condemning his employer and protecting the interests of his players, six of whom are either African or of African descent.
"We have talked about it in the dressing room and given every player the opportunity to voice their opinions, also on a one-to-one basis," he admitted last week.
Even by Schalke's standards, the Toennies affair is a particularly fiery baptism for a new coach, but Wagner knows he will have to get used to the off-field noise.
In the football-mad Ruhr region, the pressure is often intense, fuelled by voracious media attention, absurdly passionate fans and a fierce rivalry between Schalke and Dortmund.
For Wagner, the atmosphere is comparable to the one which his old friend Juergen Klopp has tapped into at Anfield.
"It means the same thing to a guy from Gelsenkirchen to support Schalke as it does for a Liverpudlian to support Liverpool", he said.
Though Wagner still considers the Premier League to be the best in the world, Schalke is a far cry from Huddersfield.
In Yorkshire, he will be forever a hero. At Schalke, he may be in for a bumpier ride.