The Frenchman emphasised the need to continue the fight against racism, but said it was too early to think about a boycott after Manchester City's Yaya Toure was allegedly racially abused by CSKA Moscow fans on Wednesday night.
Toure made the allegation following Manchester City's 2-1 Champions League win in Moscow and UEFA has charged the Russian club over the alleged racist behaviour of their fans, prompting a disciplinary hearing on October 30.
The Ivory Coast international has suggested that black players could boycott the World Cup when it is held in Russia in 2018 and has received support from anti-racism groups.
Asked about a potential boycott, Wenger said: "You have to fight racism whether it is in Russia or anywhere else in the world.
"I don't know what really happened there, but you cannot tolerate racism of any kind and you have to fight against it. How (do) you do that?
"Honestly I believe UEFA is taking action in the right way and to go as extreme as (a boycott), it's a bit early to do that because it's not proven what happened. I believe that Russia itself has to fight against that and of course you want everybody to be active on that."
Toure was upset when he came off the pitch in Moscow.
He was quoted by Russian news agency RIA Novosti as saying: "If we aren't confident at the World Cup, coming to Russia, we don't come."
Paul Mortimer, who represents Show Racism the Red Card, believes a boycott is a realistic prospect.
The former Charlton midfielder told BBC Radio Five Live: "Walking off the pitch is the only power that the players have to make the authorities aware that they are not happy.
"I think this is their form of doing it now. They're saying, 'listen, if the authorities don't actually deal with this properly, we're not going to come. We're not going to take part, we're not going to do it'.
"The authorities at the moment have not dealt with it correctly."
CSKA are expected to challenge the UEFA charge after issuing a statement saying they were "surprised and disappointed" by Toure and City officials' allegations.
They said they "found no racist insults" from CSKA fans and claimed their boos and whistles were not directed at Toure specifically.
Mortimer, though, gives that defence little credence and believes that a change in mindset is needed before the issue can truly be tackled.
"If you look at the Russians they have denied it's happening," he said.
"I watched the game so you're asking me not to trust my eyes and ears. I saw it and I heard what was going on and it was going on.
"Until people actually accept that there is a problem, they're never going to deal with it and if you listen to the Russian authorities, their first response is to deny that it's happened and that is a huge problem in itself.
"I think the thought of them not getting the World Cup should be the catalyst for change."
CSKA also quoted their own Ivory Coast player, Seydou Doumbia, as saying he did not hear any racist abuse.
But Mortimer believes that the striker will have had little choice but to tow the line and has linked his situation to that suffered by black players in England in the 1980s.
"Back in the late-eighties when it used to happen to me and you're the minority, you have to sort of suck it up and accept it because you didn't have the confidence or even the support system in place to actually talk out about it," he said.
"Him over there, he'll probably be a sort of lone wolf, he'll have no help, he'll have to actually accept it."
Former West Ham striker and Torquay boss Leroy Rosenior, who also works with Show Racism the Red Card, thinks a boycott would send the strongest possible message to FIFA that racism needs to be tackled more robustly.
He said: "Boycotting the World Cup, which is sanctioned by FIFA, is a threat that maybe needs to be a serious threat, because you want the authorities to come up with something off the back of a threat which will actually get something positive happening.
"Major players will say, 'we won't turn up until we feel that we're going to play in an environment where we feel safe'.
"And not just the major players but anybody who feels strongly enough to back it.
"All the major players, certainly in Africa, won't turn up and it will be a tournament that is undermined and doesn't have the effect and doesn't raise the funds and the money that FIFA would want."