The 30-year-old was substituted during Arsenal's 2-1 loss to Wigan Athletic on Monday, and it is understood that the Spaniard could now miss the remainder of the season.
"He had to come off. It's an ankle problem. It looks quite a serious one. We have to scan it tomorrow, it's too early to say tonight. But it doesn't look like a little ankle sprain. It is a serious one," Wenger told Sky Sports News.
Arsenal face Chelsea in the Premier League on Saturday.