European giants Manchester City and Paris Saint-Germain are believed to have fallen foul of the regulations and reports suggest UEFA have offered the two clubs settlement offers of wage caps on their Champions League squads for next term.
UEFA said on Friday that nine clubs suspected of breaching financial fair play rules are to face further investigation.
A UEFA statement read: "Of the 76 clubs asked to submit more information to the Club Financial Control Body regarding compliance with FFP, examinations will continue into nine of them.
"Further information shall be provided once this process has been completed."
Wenger is adamant that the full force of the European governing body's punitive system must be imposed.
The Frenchman said: "There are rules to apply for Financial Fair Play. If you don't respect them, you have to apply the rules.
"One of the rules is that normally you should be banned for the excess of the financial amount that is not justified, that is if you are £100m overboard, you should be punished for £100m of your wages bill in the Champions League.
"I want to see that respected, if that is not respected, then the financial fair play will have problems to be respected in the future because everyone will just not consider it at all.
"If it is not respected, of course we will feel let down."
When pressed as to whether he would like to see City and PSG barred from Europe's elite competition, Wenger added: "That has gone now. I have thought about that problem and the media might play a part in that.
"When UEFA sells the rights of the Champions League to a French TV station, it is very difficult to explain to them once they have paid the money that the best club in their country will not play in the competition, so that might be one of the reasons behind that."