Reading boss Brian McDermott has been told the club have been on the wrong end of key refereeing decisions this season because his players do not appeal enough.
But Wenger said: "It is down to the referee to make the right decision. Once he has given a penalty, once he has given a goal, who was offside, (the referee) will not come back on his decision anyway."
The Royals were close to securing their first win in the Barclays Premier League when they led Newcastle 2-1 last weekend, only to see Demba Ba net a late equaliser after diverting the ball in with his hand.
McDermott was unhappy with the decision - and was left perplexed when the fourth official suggested a more vehement appeal from his players could have seen the goal chalked off.
Gunners boss Wenger feels that must not be allowed to happen.
"The Press has made, and rightly so, campaigns that the players should leave the referee alone," he added.
"Sometimes you question yourselves, when the other teams do it and your players don't do it, that you have a little disadvantage, but I don't think it can be a rule for us to encourage our players to do that.
"We should leave the referee as much as we can alone to make his decisions."