Arsenal striker Nicklas Bendtner has been fined by the club for his antics in the wake of their UEFA Champions League exit.
The Gunners crashed out at the semi-final stage at Emirates Stadium on Tuesday evening as Manchester United cruised to a 3-1 success to progress 4-1 on aggregate.
Denmark international Bendtner was then pictured leaving a London bar in the early hours of Wednesday morning somewhat the worse for wear and having suffered what could only be described as a 'wardrobe malfunction'.
When asked if was disappointed with Bendtner's antics, Wenger told Sky Sports News: "Yes. That is not acceptable and he has been fined by the club."
Meanwhile, Wenger has warned his players that he will have the sole say on the club's transfer policy after a fourth season without silverware.
Emmanuel Adebayor claimed the club have 'gone backwards' this season, while Manuel Almunia feels that more experience is required to secure silverware next season.
Emirates Stadium boss Wenger feels his squad should concentrate on their performances on the pitch, rather than be concerned about off-field affairs.
"I believe that you have to take a distance with the statements of the players. They are not managers or coaches," he said.
"They are responsible for their own performance on the pitch and not for general assessment of the team.
"You go to Chelsea, to Manchester United and you ask them if they feel they need to sign players, you will get everywhere a positive response. Yet if you ask the players in what position, you will never get their position.
"Every player wants to play with big names because it is reassuring."
However, Wenger insisted: "If you look at our team on Tuesday night, our oldest player in midfield was 22. They are in the best four in Europe, so why should we panic?
"I believe we have to take the critics on the chin, but at the end of the day, it is down to how strongly we believe in ourselves and how good I think the team is.
"We live in a world where everyone can have opinions, but it is people in a position of responsibility who make decisions.
"There is a big difference, because people who make decisions have responsibilities for the longer-term of the club, for the survival of the club and for the financial resources of the club."
The Gunners face Chelsea in the Premier League on Sunday, with the Blues under the spotlight for their reaction to their Champions League exit at the hands of Barcelona, where they felt referee Tom Henning Ovrebo denied them four penalties.
Wenger did not want to be drawn on the behaviour of the Blues players, but pointed to Arsenal's reaction to their own controversial European exit against Liverpool last season when the Reds were awarded a debatable late spotkick at Anfield.
He said: "You have to accept the decision of the referee.
"We went out of the Champions League last year on a much more obvious penalty and nobody made a circus of it."