Manchester City approached Leicester with a £60million bid for Mahrez but the Foxes refused to sell the Algerian and he has now gone on strike, failing to turn up for training for several days.
This morning, Wenger said: “You want the clubs to behave well and the players to behave well. In the case of Mahrez which I know a bit the story, I wouldn't want to come out on that."
Meanwhile, former Tottenham boss Harry Redknapp believes Mahrez has been badly advised.
He told BBC Radio 5 Live: “Whoever is advising Mahrez is giving him the wrong advice.
“Leicester put him on the map; he came in as an unknown. He's done a great job and they are going to get big money for him.
“But they don't want to sell him at the moment and he's got to accept that and honour his contract.
“He's definitely going about it the wrong way. He's got to get back to training and get on with it."