Wenger made the comments after Bacary Sagna's outburst last week.
Wright told the Absolute Radio: "Well you know, I think that's what should be happening anyway. Players should always show commitment and if he's not getting that; he shouldn't have to ask for that. That's something that he should be getting anyway so it's maybe an insight into certain things that he's not getting the commitment he needs.
"And if you're not showing the commitment then you can leave; maybe people like Sagna, listening to Sagna's comments a couple of weeks ago or whenever it was, it's something that he'll have to see and he's not happy about. But yeah, it's a sad state of affairs when you hear him, the manager asking his team to show him commitment "Or you can leave." I suppose we'll see what the players are made of."