The Frenchman said that he is no fan of the FIFA's transfer window system that was introduced in 2002.
The 62-year-old believes that the current system unsettles players and clubs, placing far too much power in the hands of players and their agents.
"I would leave it completely open all year, or you close it for a whole year. Now, it is in between," said Wenger.
"Everybody becomes nervous in November until January. Then players maybe think, 'If I don't play then I will leave in January'. They are already less committed to the cause, it gives them an opening.
"We have gone from a period where we knew if we didn't play we had to be committed to the club, had no other option but to fight for the place.
"Now there is not a position where the players have a quick and easy way out if it is difficult."
Wenger's Arsenal face Swansea in the Premier League later on today.