The 26 year old Denmark forward has not played for the Gunners since 2 February, and now faces sanctions for his visit.
Wenger said: "The only thing that is for sure is he had nothing to do in Copenhagen. Nobody gave him any permission to go to Copenhagen and he will be fined for that.
Asked whether this was the 'final straw' for the player, Wenger said: "He is at the end of his contract at the end of the season."
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