A visitor to Arsenal's training ground tweeted a picture detailing a list of fines the Gunners manager hands out to his players for a variety of offences - from tardiness to failure to wear appropriate clothing or footwear.
It is believed an Arsenal fan who is a friend of the Gunners' club doctor Gary O'Driscoll tweeted the picture following a visit to the club's training ground in London Colney. "It's more disappointing than upsetting," the Arsenal manager said.
"It's frustrating because I feel you have a right to privacy inside the dressing room.
"When that is not respected, it's disappointing. It was not malicious. It's more innocent. The intention counts for me and I don't think the intention behind that was anything bad. It's more disappointing than anything else."
Although Wenger was philosophical about the tweet, he is not content about what he sees as a general lack of privacy when it comes to coverage of leading football clubs like his own.
"I don't talk about what happens inside the club," said Wenger.
"We live in a world that you do not have to come into our sleeping room to know exactly what happens. It becomes a little bit ridiculous now that every single moment of a football club has to be absolutely public and explained. We have to stand up for our bad performances, but not for everything that goes on at the club."
Wenger did manage to crack a joke about the whole episode, however, when he revealed that German defender Per Mertesacker is his debt collector.
"The Germans do well economically and we respect that," the Frenchman said with a smile. "They are the only ones that make money in Europe. That's why we've chosen a German."