Arsenal undecided whether to pursue compensation claim over van Persie
The striker is likely to be sidelined for the rest of the season after suffering an ankle ligament problem whilst in action for Holland in November.
Wenger was furious with the Dutch FA's handling of the situation but Fifa has since told Arsenal they are not entitled to financial compensation.
"We have made an enquiry, but I do not have the conclusion of our lawyers yet," said the Gunners boss.
"Something needs to be done, though, and we are prepared to go as far as we can.
"Hopefully we can set a precedent for the future."