The Gunners boss says that something was hurled at him by a fan in the Ataturk Stadium at the end of his side's 0-0 Champions League draw with Besiktas on Tuesday
The Gunners boss was walking off the pitch after his side, who had Aaron Ramsey sent off, failed to make the breakthrough in the first leg of their Champions League play-off.
The Frenchman says that someone in the crowd at the Ataturk Stadium attempted to strike him with a missile, with European football's governing body now in charge of investigating.
"As I left the pitch a bottle or something was thrown at me," Wenger told the media afterwards.
"I reported the incident to Uefa."
The Arsenal boss also declared after the match that his side are not close to making any further summer signings after a heavy close-season spend.