The Gunners travel to Wales for a clash with Cardiff City in the Premier League this afternoon. Speaking to reporters ahead of the clash, the Frenchman was quizzed by reporters for his opinion on Bluebirds owner Vincent Tan changing his team's kit from blue to red last season.
When asked if he could ever impose a similar change of attire at the North London outfit, the 64-year-old quipped: "For us, it is impossible to change colours. We would all hang outside the Emirates. I don't know [at Cardiff], but [Tan] managed to do it.
"If you take the case of Arsenal, with the history of the club, it would be extremely difficult."
Mathieu Flamini made headlines during the week for once again cutting the sleeves off his shirt in the 2-0 victory over Marseille on Tuesday - an act which conflicts with club tradition after stand-in captain Per Mertesacker chose long-sleeved jerseys for the playing staff on the night.
The tradition pre-dates Wenger's appointment at the club by more than 70 years and the veteran manager is adamant that the custom will not end under his tutelage.
He added: "It is a tradition I bought into when I came here. We had always that debate when it gets to October - do we play short sleeves or long sleeves? Half the team wanted long, and half wanted short.
"So I said, look, we decide before the game, we play what you want but all the same.
"From that moment on it is always the captain after consulting the players who decides and everybody respected it."
Arsenal's clash with Cardiff is scheduled to kick off at 3pm this afternoon.