A number of high-profile black players refused to wear anti-racism 'Kick It Out' T-shirts prior to last weekend's Premier League games, in protest at alleged laxity in the football authorities' attempts to tackle the issue.
The controversy was followed by reports in the British media on Tuesday that Manchester United defender Rio Ferdinand -- who took part in the T-shirt boycott -- is set to launch a new anti-racism union for black footballers.
Wenger, though, believes such a move would undermine attempts to tackle discrimination in the game.
"I think any split is bad," he said, at a press conference ahead of his side's Champions League group game at home to Schalke on Wednesday.
"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."
English football has been rocked by a string of incidents involving racial abuse in recent weeks.
John Terry was handed a four-game ban for abusing QPR's Anton Ferdinand last season, while England's under-21 players claimed to have been the subject of racial harassment during a match against Serbia last week.
There have also been reports that abuse was aimed at Newcastle United's Demba Ba, as well as claims that Bolton Wanderers' South Korea midfielder Lee Chung-yong and some of his team-mates were targeted by Millwall fans.
As part of an initiative involving European governing body UEFA and Football Against Racism in Europe (FARE), players captaining teams in this week's Champions League and Europa League games will wear an anti-racism armband.
Wenger said he supported the idea, regardless of the timing.
"I feel it is important to happen at any moment," said the Frenchman.
"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."
Meanwhile, Wenger called on his players to flush their disappointing defeat at Norwich City out of their system by winning Wednesday's game with Schalke.
Saturday's loss at Carrow Road left Arsenal 10 points behind leaders Chelsea in the Premier League, but victory over Schalke would put them five points clear in Champions League Group B and within sight of the last 16.
"We have got over it and we will focus on our next game," he said.
"That is the only way to deal with it, to put the disappointment behind us and focus on Schalke.
"As a team, we were not as efficient as we are used to. It can happen in the season. It is just of course at a very bad moment for us.
"I expect us to respond in a strong way because this team is very ambitious and wants to do very well."
Welsh midfielder Aaron Ramsey echoed his manager's words and said a third consecutive group-phase win on Wednesday would be the ideal tonic for their domestic disappointment.
"When you have an upset like that, you want to get back out there as quickly as possible and put it right," he said.
"That is what we hope to do on Wednesday, and put ourselves in a really strong position in this group."
Arsenal will be without Alex Oxlade-Chamberlain (hip), Theo Walcott (chest) and Kieran Gibbs (thigh), but Wenger is hopeful that Laurent Koscielny will be fit to play despite a back injury.