Arsenal were on the verge of sharing the spoils with Burnley on Sunday before Alexis Sanchez converted a late penalty.
It was a tough battle for the North London side who had lost 1-0 to Cologne in the Europa League on Thursday.
Reacting to the penalty, Wenger said: “From outside it (the penalty) looked 100 percent. I don’t know why he pushed him in the back. I would like to see it again.
“In the first half we didn’t find our game. Burnley defend extremely well and are very dangerous on the direct game.”
However, Burnley boss Sean Dyche was furious and said that “There’s a lot of me inside that’s raging a lot.
“It was highly unlikely it wasn’t going to get given on a day like today, that’s all I’ll say (about the penalty).”
The victory leaves Arsenal in fourth place, nine points behind leaders Manchester City.