The Scot was furious that referee Mike Dean overruled his linesman's offside decision that led to Jonny Evans scoring an own goal in the clash at Old Trafford, and therefore directed criticism at the referee though he insisted he was not abusive.
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"He will be the first to say that," the Frenchman told reporters. "We sometimes go overboard on the touchline and when you do that, you have to be punished.
"Whether it's me or Sir Alex Ferguson or anyone else in the world, the rules are the rules. It is not rules for one person and rules for another. It's the same for everybody.
"We love the Premier League. It is watched all over the world so we want it to be respected by fans for its behaviours.
"Should you behave like that - no. I did not always behave as I should and you can call that a bad example, yes. So when you go overboard, you have to be punished.
"The message it sends out when you look at the pictures is just not to behave like that."
Wenger also dismissed suggestions that officials were intimidated by Sir Alex, insisted that rules must apply to everyone.
"Why should anyone be scared of anybody?" he added.
"You have the rules. You observe the rules, or not the rules. Why should anybody be scared of Ferguson, I don't understand that?
"There are rules and the referees act on that. They are professional people, they are paid for that. It's as simple as that.
"On the day they made a mistake. It does not mean they are not honest but they made a mistake."