Several leading black players refused to wear Kick It Out T-shirt's ahead of the recent Barclays Premier League games in protest at what they see as a lack of action by the football authorities to combat racism.
The Daily Mail reported on Tuesday that Rio Ferdinand, of those not to wear the T-shirt, wants to revolutionise English football with the launch of the new union.
Wenger said: "I think any split is bad.
"If there is no racism, if you want to fight against racism, you should not create any federation on a difference that you want to fight against. I personally can't see the logic in that."