Wenger said: "Ronaldo is under contract for four more years so what happens to him depends on Manchester United not the player.
"Alex Ferguson and the club have been quite clear the player must stay because he has a long contract.
"The club have never moved their position - that has always been their policy," said Wenger.
"I don't know everything that has gone on, but I admire United for the way they have stayed strong in a situation that has been made very public by Real.
"It is not easy and I have been in a similar situation with speculation surrounding Emmanuel Adebayor and his future. Sometimes, though, you just have to say no, you have a contract and you are our player."