Messi's current deal at the Camp Nou expires at the end of the 2020/21 season and there has been no indication he will extend his stay at the club.
The Argentine was heavily linked with a switch to Manchester City before the start of the current campaign after informing the Catalan giants that he wanted to leave, while the links with PSG have popped up recently.
Even though Messi remains at his peak, Wenger feels the six-time Ballon d'Or winner might mess up the current balance in PSG's side if he were to trade Catalonia for Paris once his deal with Barca expires.
"Lionel Messi is one of the two best players in the world. Those who will replace Cristiano Ronaldo and Messi are already at PSG," Wenger told Europe 1.
"After that, it's a question of balance in the club, a technical balance and a financial balance. Can you keep the balance at PSG by bringing in players like Messi? I'm not sure."
Current PSG star Neymar recently spoke of his desire to play alongside Messi once again, but it remains to be seen if that will take place in France or back in Spain, if at all.