England's under-21 victory in Serbia on Tuesday night was overshadowed by unsavoury scenes at the final whistle with scuffling on the pitch amid accusations of racism from the stands towards England left-back Danny Rose, which is now being investigated by UEFA.
Chelsea captain John Terry, meanwhile, is set to begin his suspension after he accepted a four-match ban and £220,000 fine from the Football Association for racially abusing QPR's Anton Ferdinand.
Frenchman Wenger, 62, has himself been the target of vile personal abuse at grounds around the country during his 15-season tenure in the English game - the latest of which came from sections of the home crowd in the Barclays Premier League match at West Ham before the international break.
The Gunners boss insists all such insults must be eradicated.
"Against stupidity the best way is information, knowledge of things and examples of behaviour, of attitudes," said Wenger.
"That is much more efficient than punishment, but you have to do both because some behaviours cannot be tolerated.
"It is not only racism, black and white, it is against all kinds of insults we still have in the stadiums. We must fight more against it.
"You look at some faces when you walk around the pitch, what they shout at you is scary. That is, for me, racism.
"You are insulted because you are not in their clan. That is a kind of discrimination.
"There is still a lot to do, but I think it's good that society fights against it.
"I am thinking that it is getting better, but it is never won."
Reading striker Jason Roberts claims he will refuse to wear a Kick It Out shirt at Liverpool on Saturday in protest at what he feels is the initiative's lack of action against recent racism incidents in the English game.
Wenger believes football must put on a united front.
"I feel that (black players) are the main targets and if they do not join in it makes the whole thing not efficient and not credible. We need all to fight together against that," he said.
"They have faced the most abuse, so I think it is important they are on board.
"If they feel the punishments are not hard enough they have to express that in a different way, but I think that it would be sad if they do not join in."
Wenger added: "You can say that the FA do not do enough, but at least they do something. There are some countries where they don't do [anything].
"I am long enough in this country to say that they tackle the problem. They don't hide behind it. They try to do something - you can always say it is not hard enough or too hard.
"It is not easy yet they have a consistent behaviour to fight it every year. You could see that with (Luis) Suarez and Terry. They do not let people get away with it."
Chelsea are understood to have handed Terry a further fine, but he will remain as club captain and will not have any further suspension.
Wenger refused to be drawn on whether that sanction was the correct stance, but insisted clubs and authorities alike have moved in the right direction.
"I don't know the punishment book well enough for what they did. Is too much? Is it not enough? I don't know the whole story well enough," he said.
"At least they tackled the problem. After it had been judged by a court, they did not let it go and they punished him.
"I have heard today that John Terry did not appeal. They fight against it and you have to give them credit for that."