Speculation over the Frenchman's future at the Emirates has intensified in the last 48 hours after the Gunners were savaged in a 5-1 Champions League defeat at Bayern Munich on Wednesday night.
"Yes, we would like to do better but what he's done for Arsenal as a club has been incredible over the years," four-time Olympic gold medallist Farah told the BBC World Service.
"I wouldn't want him to go in my opinion. I would like to see what he can do for the club more. But obviously the result a couple of days ago wasn't good. But he knows what he's doing."
Earlier today Wenger admitted that he will make a decision on his future in "March or April".