The Gunners boss believes that the media scrutiny such an announcement would attract makes it very difficult for gay players to disclose their sexuality.
Ex-Aston Villa, West Ham United and Everton midfielder Thomas Hitzlsperger waited until after his retirement before coming out as gay.
"Because of media interest, maybe no-one will come out," Wenger told Arsenal magazine.
"He could not come out during his career which means we still have some progress to make in our game. Hitzlsperger should not have had to wait until the end.
"But overall he should not have to come out at all because it should just be considered like anything else."
Wenger went on to criticise those who discriminate against others, declaring that it is "very sad" that there are individuals who believe some should be excluded from football.
He added: "It would be good if four, five, six people come out and after that nobody speaks about it anymore because they just think it is people who live their life like they want to live it.
"I think football is there to provoke moments of happiness, excitement and positive experiences in people, no matter where they come from, what colour skin they have, what religion they are or what their preferred sexuality is.
"It's very sad that some people think that this sport should only be reserved for those who have certain characteristics."
Hitzlsperger, who has 52 caps for Germany to his name, retired from football in September last year following a short-term stint at Everton.