Several leading black players refused to wear Kick It Out T-shirts ahead of the weekend's Barclays Premier League games in protest at what they see as a lack of action by the football authorities to combat racism.
And on Monday Wales and Aberdeen keeper Jason Brown claimed black players might reluctantly be driven towards setting up a breakaway anti-racism group because they feel not enough is being done.
Wenger, however, feels a united front is the way forwards to tackle all forms of discrimination within the game.
Speaking ahead of Wednesday night's Champions League clash against Schalke, the Arsenal manager said: "I think any split is bad. If there is no racism, if you want to fight against racism, you should not create any federation on a difference that you want to fight against. I personally can't see the logic in that."
UEFA are promoting anti-racism projects along with Football Against Racism in Europe (FARE) at this week's Champions League and Europa League games.
The issue continues to make headlines in the wake of John Terry's domestic ban by the Football Association for using racist language towards QPR defender Anton Ferdinand and abuse suffered by England under-21 players during a recent international in Serbia.
Wenger is fully behind the initiatives.
He said: "I feel it is important to happen at any moment. Racism or xenophobia or any other differences that can exist between people, for example different cultures - you have to always show respect for everybody and every culture and every human being, no matter where you come from and no matter when it is in the season.
"That is why I feel that what happened during the weekend is very sad."
Arsenal midfielder Aaron Ramsey maintains players are all behind the campaigns.
The Wales international said: "We should all try to get together and try to get [racism] out of the game.
"It is not a good thing that has happened lately, but it is not really for me to comment on.
"Nobody likes to see that, and personally I don't like to see that in the game. We all support that here."