Player protests have been a subject of debate for years, and the issue was highlighted again last weekend when Reading manager Brian McDermott was allegedly told by the fourth official that Demba Ba's handball goal may have been disallowed if his players produced a more vociferous appeal.
However, Wenger believes that any protests are futile as the referee won't go back on his decision once he has made it.
"Once he has given a penalty, once he has given a goal, who was offside, [the referee] will not come back on his decision anyway. The press has made, and rightly so, campaigns that the players should leave the referee alone," said Wenger.
"Sometimes you question yourselves, when the other teams do it and your players don't do it, that you have a little disadvantage, but I don't think it can be a rule for us to encourage our players to do that.
"We should leave the referee as much as we can alone to make his decisions."