The 28-year-old - signed from Zenit St Petersburg during January last year - is currently battling to be fit due to a calf problem, and may not make the trip to Blackburn on Monday night.
Earlier this week, though, the Russian playmaker talked up Barcelona, who knocked Arsenal out of the Champions League, and claimed playing for the Spanish giants at some stage would be "would be the peak of my career".
It is not the first time such quotes attributed to Arshavin have hit the headlines, the Russian having questioned Arsenal's direction more than once during a season of frustration.
While Wenger continues to take such stories with a pinch of salt, given their source from overseas, the Arsenal manager firmly believes his team must commit 100 per cent to the Gunners' cause.
"Yes, I am very disappointed because he shows a completely different attitude," said Wenger.
"He wants to extend his contract with us and stay with us, so the noise coming out of Russia is very difficult to explain.
"He looks to be very happy here, so you should ask him where it comes from."
Wenger declared: "We do not, of course, accept that. When you are at Arsenal, you are at Arsenal. When you are somewhere else, you are somewhere else.
"I believe that your pride makes first that you defend your club.
"Everybody has the freedom to speak, but you want to make sure first of all that you respect your club."
Wenger, though, reflected: "I just put one question mark behind the things that come back translated.
"Usually you have direct access to him, you can ask him where that comes from.
"I don't forbid you to talk to him, but I take with a little bit of distance what comes back translated sometimes with the help of some agents who want to move the players."
Wenger, though, concedes he will need to strengthen his squad after another campaign, which was blighted by injury to key men, failed to deliver a trophy.
Marouane Chamakh's arrival is set to be officially confirmed once the Morocco striker's contract with Bordeaux expires in the summer.
William Gallas, Sol Campbell and Mikael Silvestre will all see their deals finish at the end of the season, so Wenger may well look to bolster his defence, with Fulham centre-back Brede Hangeland a potential target.
"I will try to do what I want to do as quickly as possible, but it does not only depend on me," he said.
"Certainly, we will announce one player before the World Cup, but after that we will see."
Wenger, however, maintains his playing staff does not need major surgery, saying: "I believe in the squad I have and if I can make an addition to the squad - two or three maximum - then we will do it."