The Frenchman feels the coach deserves the Rossoneri's trust as he needs time to rebuild the team after the departure of several key players in the summer
"It is clear for all to see that things are not going well at Milan. However, it is crucial that they retain their faith in Allegri," Wenger told Eurosport.
The Rossoneri have taken only seven points from as many games and sit 11th in the Serie A table at present, but while the 45-year-old has received his fair share of criticism for the side's poor results, the Frenchman believes a change would be wrong.
"It is only normal that he needs time to rebuild the team after the departure of players like Thiago Silva and Zlatan Ibrahimovic," Wenger said.
"The two Milan teams appear to be less strong than we've come to get used to in recent years, but that's down to the economic crisis."
Milan resumes league action on Saturday, when it travels to Lazio.