Arshavin has become a target for the Arsenal boo boys this term, with a dip in form making him an easy terrace target.
His efforts have not been helped by intense speculation regarding his future, with it claimed that he could still be on his way out of the Emirates Stadium before the season is out.
With the Russian transfer window still open, a return to his homeland is being widely touted.
Wenger, though, has offered no indication that he is looking to move Arshavin on, with it his desire to retain the services of his experienced international stars.
He has complete faith in the 30-year-old's ability and has called on him to be patient in his efforts to hold down a regular role and win over a sceptical fan base.
"At the moment we play a little bit under difficult circumstances, but we have to realise that we have to support our players," said Wenger.
"I understand everybody's frustrations because I am quite tolerant, but there is still a difference between frustration and lack of respect.
"I personally have a huge respect for Andrey Arshavin and if you would see him behave every day, you would have one as well."
Wenger added: "Things can change quickly - villain today, hero tomorrow, it is like that nowadays - but when you are a good football player like he is you can always come back."