In a revealing press conference, the Gunners boss discussed the topic of his club's inability to finalise two crucial transfer deals.
Following the 2016 European Championship it emerged that Arsenal and Premier League champions Leicester City had reached an agreement for star striker Jamie Vardy, only for the deal to collapse when the player decided to sign a new contract with his club.
"You have to respect decisions of people," Wenger told reporters.
"That's part of it. In every transfer market you have one or two with decisions to make and you have to respect them. Look at the whole market. Very little happens. It's about the availability of players. Huge amounts can be spent on average players.
"On Vardy, you should ask him that question. I cannot answer for him."
On Wednesday night it was deja-vu for Arsenal fans when Foxes star playmaker Riyad Mahrez, also a confirmed target for the Gunners, dedicated his future to Claudio Ranieri's team by signing a new four-year deal.
"I don't want to speak individually about players," the veteran manager continued.
"He has been outstanding if you look at his numbers. He was top three in terms of goals and assists. He had the best combination in the league."