The Arsenal manager, who will become the longest serving manager in the Premier League following Sir Alex Ferguson's retirement, says that clubs need stability in order to be successful and that a knee-jerk reaction to a disappointing season should not result in a job loss.
It is speculated Mancini's departure will be announced this week and Malaga boss Manuel Pellegrini is poised to replace him, although the 59-year-old Chilean says no deal has been signed.
Wenger has come under fire from his own fans this season but he acknowledges that the board at Arsenal do not make rash decisions and is grateful for the support he receives.
"I have the faith of my directors and I am grateful for that. We have rebuilt the team and since January we have done very well," the Frenchman told reporters. "I am against that [clubs sacking managers after a short period]. You need stability and people who represent the values. I am sorry for any manager who loses their job."
Wenger's Arsenal can clinch a top four finish with victories in its two remaining games. The Gunners face Wigan at the Emirates on Tuesday evening before traveling to the north east to face Newcastle on the final day of the season.
"Two months ago our destiny was not in our own hands," Wenger added. "Now it is, so let us finish the job."