Wenger was speaking after Gunners midfielder Jack Wilshere was given a two-match ban, having been handed a retrospective misconduct charge for raising his middle finger in the direction of Manchester City supporters during Saturday's 6-3 loss at the Etihad.
Arsenal accepted the charge but contested the mandatory two-match suspension, Luis Suarez having been given just a one-game ban for a similar act of indiscipline in December 2011.
However, the suspension was upheld by an independent regulatory commission and Wilshere will sit out next Monday's game against Chelsea and the Boxing Day clash with West Ham at Upton Park.
Wenger said: "We thought the ban was one game and that is why we appealed. It is two, we have to accept it and to swallow it.
"He was wrong in his reaction and we are now in a situation where we have to accept it, wait until he comes back, and focus on our next games without him.
"Do you want unfair behaviours to be punished? Yes.
"The players adapt, they are intelligent people. They always test the border, how far can I go? They look at others and see how the referee responds and they adapt.
"If the referees are consistent in doing that, they will stop it, but you want consistency."