Real manager Jose Mourinho and four of his players have been charged by UEFA with improper conduct following an investigation into events towards the end of the Spanish giants' 4-0 win at the Amsterdam ArenA on Tuesday night.
Both were sent off for time-wasting, earning them suspensions for next week's Group G dead rubber against Auxerre and wiping out their disciplinary records ahead of the knockout stage.
Mourinho has denied issuing such instructions.
Wenger has called for European football's governing body to punish the former Chelsea boss and his players if found guilty but admitted such action had occurred to him.
"You never say that it doesn't cross your mind, and you have to be completely honest about it," he said.
"But when you see how it looks on television, I must say, what happened there is the best demonstration to think, 'Never do that again'.
"For yourself as well, never envisage to do that because it looks, frankly, horrible."
He added: "It crosses your mind if two games later you play the biggest game of the season and you have a meaningless game just after and the players can be suspended."
"It's a pity to see that from a big club," said Wenger, who sidestepped questions about whether it constituted cheating.
"You can call it what you want, but it's not what you want to see on a football pitch.
"It's always the same: on a football pitch, you want to respect people who pay money to watch a football game.
"What they want is to watch football, not to watch these kinds of things.