Wenger told the Official Arsenal Magazine, reported in the Daily Mirror: "Why should the Premier League be untouchable?
"The recession means fans will have less money, the television companies will have less advertising revenue and that means that football will suffer.
"The next television deal could be lower, it depends how much they are touched by it."
Wenger also believes supporters may have to bail out the professional game if clubs find themselves deep in financial trouble.
The Frenchman has observed banks across the world struggling for survival, with many requiring state assistance.
"Who pays for it? the taxpayers," said Wenger. "So football could go the same way - the fans could end up paying."