Bendtner was not included in Arsenal's travelling squad for the Champions League tie against Bayern Munich because of a minor knee injury.
On Tuesday night, when the Gunners were playing out a 1-1 draw at the Allianz Arena which saw their European hopes ended for another season, the 26-year-old is reported to have threatened a taxi driver then unbuttoned his trousers and rubbed against the car during an altercation in the Danish capital.
Wenger confirmed Bendtner, has not played for the Gunners since February 2, did not have permission to make the trip to his homeland and would face internal sanctions as a result.
''Honestly I don't know really what happened because I haven't spoken to him. The only thing that is for sure is he had nothing to do in Copenhagen. Nobody gave him any permission to go to Copenhagen and he will be fined for that," Wenger said at a press conference ahead of Sunday's Barclays Premier League match at Tottenham.
''For the rest, he has created some trouble there I don't know, I will speak to him today.''
Asked whether this was the 'final straw' for the player, Wenger said: ''He is at the end of his contract at the end of the season.''
Bendtner, who spent loan spells away at Sunderland and then Juventus, was looking to make the most of another chance at the Emirates Stadium this season, having been close to leaving for good in the summer to first Eintracht Frankfurt and then Crystal Palace.
However, following an ankle injury when scoring in the win over Cardiff on New Year's Day, Bendtner has fallen behind fit-again Yaya Sanogo as back-up to lead frontman Olivier Giroud.
Bendtner is out of contract at the end of the season and so could now sign an agreement to move abroad as a free agent.
The forward did, though, start in attack for Denmark in the recent friendly at Wembley.
Speaking before that match, Bendtner had expressed a desire to remain "professional" during his final few months with Arsenal, a club where he had been since a teenager.
''I have been very positive. I feel I have shown every time I have played that I want to play there,'' said Bendtner.
''I don't think I have ever pulled my socks down and been like 'I don't care', but I have played like I had a future there and I am going to continue doing that until the end of the season, then we might part ways.
''I will have no hard feelings. I have had a good time there, and if it does finish for us then I am going to be a bit upset, but that is football, that is life.''
Bendtner added: ''You have to try to stay professional about it, and if I do get the chance to play, then I am an Arsenal player still and I will do everything I can to help the team, which is what I have been doing.
''It is hard, though, when you feel like you have something to contribute but do not have the opportunity.
"All I can do is keep myself available, it is then down to the manager to select who is playing.''