The Frenchman is concerned that players are restricted from playing against their parent clubs but can score goals against other rivals in the league table.
"Personally, I would not ban players on loan from playing against their own clubs. What I would like to see in the Premier League is that you are not allowed to loan players over the age of 21," said Wenger.
"If a big club sends a big player to another club in the Premier League on loan, they only have benefits. That player cannot face his own club, yet he could win games against their rivals.
"Therefore, I think it would be better if players over 21 didn't go on loan in the top league."
The Gunners host Aston Villa in the FA Cup fourth round on Sunday.