The social media clip reportedly shows the forward dancing, along with a tag that read: "Shouldn't Iwobi be sleeping?"
Rumours suggest that the party was held in the early hours of Saturday morning, one day before Iwobi played 90 minutes of Arsenal's 4-2 defeat to Nottingham Forest in the third round of the FA Cup.
When asked about the footage in today's press conference, Wenger told reporters: "It was not the night before the game. It was 48 hours. But it's not acceptable, I will speak to him about it. If that is true he will be fined.
"When you read what is reported it's like he has taken drugs, he is not involved in that at all. If he was at a birthday party, how long has he stayed? That is very important. After that I will decide what happens.
"If your neighbour takes drugs, what can you do about it? You are responsible for your behaviour. You must have played football, you want to prepare 100% but sometimes it is not a guarantee that you will be at your best. But that is what is requested from a top professional."
Meanwhile, the Gunners are preparing to take on Chelsea in the EFL Cup semi-final on Wednesday.