Previous robust transmission expansion planning (RTEP) studies have rarely considered the important question of how large the uncertainty set should be, and hence, how the uncertainty budget can be determined objectively. This study addresses this issue by proposing a novel adaptive optimization method that optimizes the value of the uncertainty budget to minimize the size of the uncertainty set while considering the underlying risk for wind power generation (WPG) fluctuations residing outside of the proposed uncertainty set. As such, the proposed method ensures a good tradeoff between the robustness and costs of RTEP solutions. In addition, the proposed method optimizes investment strategies under forecasted WPG scenarios, while providing a security guarantee under extreme WPG scenarios. The variable-limit integral terms introduced by the proposed method are addressed in the solution process by applying the piecewise linearization approximation method combined with the quadratic Newton-Gregory interpolating polynomial technique, which allows the solution process to be cast as a mixed integer linear programming problem. The good performance and effectiveness of the proposed adaptive uncertainty set optimization method are verified by numerical results.