The Italian has sympathy for Wenger's demands that referees adopt a strong stance in protecting players from reckless challenges.
Di Matteo said: "My opinion is that football is a contact sport. Part of it is physicality - but it needs to be fair.
"Referees have to be strong and make sure the game is conducted in a fair manner where no players get injured. They need to protect the players.
"Sometimes it is just an unfortunate challenge, sometimes it is challenges that can be avoided when a player gets injured.
"It has got to be fair. No one wants to see players getting injured or breaking legs.
"I don't know what category we find ourselves in at the moment. We want to be competitive but we are not the bad boys of the Premier League at the moment."
The Baggies were beaten 6-0 at champions Chelsea on their last visit to the capital on the opening day of the campaign.
He said: "Arsenal are a good team, they play some good football and if you catch them on the wrong day, whatever you do may not be good enough.
"But we will try to find a strategy which gives us the best chance of getting something out of the game.
"After what happened at Chelsea, we knew we had to stop making the sort of little mistakes that give the opposition an advantage.
"If Arsenal outplay us you have to hold your hands up, but we want to be competitive."