The Gunners boss says it is "crazy" that clubs are trying to spend vast sums of money this summer, but also admitted that he feels under pressure to splash the cash himself.
The Frenchman has so far been frustrated in his attempts to reinforce his squad this summer, with Napoli outspending the Gunners for Gonzalo Higuain, while Liverpool continues to hold firm over Luis Suarez. And after being asked about Madrid's potential world-record capture of Bale, Wenger wondered how clubs can continue to splash the cash despite UEFA's plans to curb spending.
"It makes a joke of it," Wenger told reporters. "It's quite amazing in the year when Financial Fair Play comes in, world football goes completely crazy.
"You wonder what kind of impact and effect it has on the football world. It looks like it has made everybody worse than before."
Arsenal has around 70 million pounds in transfer funds available this summer, and sections of the club's support have grown restless that no big-name arrivals have come through the door of the Emirates Stadium so far.
Wenger, who has long been a target for criticism from some fans, admits he is feeling the heat.
"If you say we're under pressure to spend money, yes we are," Wenger said. "But I feel more under pressure to spend the money in the right way, and that's what I'll try to do. We want to spend it if it strengthens our team. Just spending the money's not a quality.
"Spending the money, buying the right players, that's a quality, of course.
"If you can give me names who are better than the players we have compared to the players we have, I am ready to talk about it."