The Arsenal boss sympathizes with the Scot, who was relieved of his duties on Tuesday, and believes quick-fire dismissals are a danger to the game.
Ryan Giggs has since been placed in caretaker charge of the club, but Wenger has been left bemused by the axing of the former Preston manager.
"I'm sad that he wasn't given time," he told reporters on Friday. "I wish him well and it is part of the modern game. It is a big threat for our game."
Wenger also confirmed that Jack Wilshere is "progressing well" as he recovers from injury, but revealed that Abou Diaby – who made his playing return in an Under-21 game earlier this week after recovering from ligament damage – has suffered a further setback and will be unavailable for Monday's clash with Newcastle.
"He had a little groin problem after the (under-21) game so will not be available on Monday," he added.
Meanwhile, Thomas Vermaelen could return to the squad, though Kieran Gibbs remains sidelined.