Referee Mike Dean made no mention of Ferguson's angry outburst towards match officials during his side's 4-3 home win over Newcastle on Boxing Day.
Wenger himself was sent to the stands by Dean for kicking a water bottle during Arsenal's 2-1 defeat to Manchester United at Old Trafford in August 2009 but the official was more lenient towards Ferguson.
When asked if the Scotsman should have received some form of punishment, Wenger said: "If he didn't behave like he should have done, then yes.
"He will be the first to say that. We sometimes go overboard on the touchline and when you do that, you have to be punished.
"Whether it's me or Fergie or anyone else in the world, the rules are the rules. It is not rules for one person and rules for another. It's the same for everybody.
"We love the Premier League. It is watched all over the world so we want it to be respected by fans for its behaviours.
"Should you behave like that - no. I did not always behave as I should and you can call that a bad example, yes. So when you go overboard, you have to be punished.
"The message it sends out when you look at the pictures is just not to behave like that."
Wenger was also asked if referees and the FA are afraid of Ferguson but he seemed unconvinced.
"Why should anyone be scared of anybody? You have the rules. You observe the rules, or not the rules. Why should anybody be scared of Ferguson, I don't understand that?
"There are rules and the referees act on that. They are professional people, they are paid for that. It's as simple as that.
"On the day they made a mistake. It does not mean they are not honest but they made a mistake."