"If you push that too far, there are no rules any more," said Wenger.
"Once you get to the prices mentioned on the TV or in the newspapers, where is the logic? There is too much destabilisation.
"What is worrying for me is that a player signs somewhere and then the next day he does not even know where he has signed. You cannot say that is a good trend.
Wenger continued: "Football is not a supermarket, we have to all understand that.
"You cannot come out and say 'we pay £250,000-a-week to Ronaldo and £135million', when the player has a six-year contract with Manchester United. It is not possible or acceptable.
"There is money in the game, and I take it in a positive way - but the football bodies have to make sure that money is ruled properly and used well for the ethics of the game.
"I always did fight for my whole life for the players to make as much money as possible, but you also have to respect what football is.
"It came out from the roots of the country through local communities who identified themselves with their team, and we have to be careful not to destroy that."
Wenger insists Arsenal worked hard to bring in at least one more player before the window closed.
The Gunners boss said: "It was not just down to money.
"With some players, their clubs said they would not be ready to sell the player. That is the basic rule of the game."
Wenger added: "The problem I have at the moment is to convince people that the players I have will develop and that every day we are a stronger team."