Spurs' Togolese forward Emmanuel Adebayor was apparently targeted by monkey chants during Thursday's match at the San Siro, prompting coach Andre Villas-Boas to speak out.
But Wenger warned players against following the example of AC Milan's Kevin-Prince Boateng, despite the midfielder winning praise for walking off the pitch after similar abuse in a friendly game earlier this year.
"The answer is just not to walk off," said Wenger. "It looks to be a recurring problem in Italy when English teams play there and it is not acceptable.
"I don't think walking off the pitch is the right answer but we have to isolate people who do that and punish them."
The Frenchman also questioned the role of European football's governing body, UEFA, which has been criticised for not doing enough to stamp out racism in the game, despite its claim of having a "zero-tolerance" policy.
"I don't know well enough what they do," he said. "They have come out many times to fight against it. Do we do enough? We have made big improvements but there is still some work to do. There is always the possibility of setbacks.
"Maybe (kick the clubs out). But if you walk off, we have no game anymore -- when losing, anybody could start racist chants. You will have the racists mastering the situation."
Wenger meanwhile said he had not yet decided whether to recall goalkeeper Wojciech Szczesny and captain Thomas Vermaelen for Saturday's Premier League trip to Swansea City.
Neither player featured in Wednesday's visit to Bayern Munich in the Champions League last 16, when Arsenal won 2-0 but were eliminated on the away goals rule.
Szczesny did not travel with the squad, with Wenger explaining that the Poland international had been "mentally affected" by the number of games he has played this season, while Vermaelen did not make it off the substitutes' bench.
Lukasz Fabianski impressed between the sticks in Szczesny's absence, while Laurent Koscielny scored Arsenal's second goal after being preferred to Vermaelen in central defence.
Nacho Monreal appears certain to come back into the side in place of Kieran Gibbs at left-back, having been cup-tied in mid-week.
However, Wenger said none of his players could be guaranteed a starting berth.
"They (Vermaelen and Szczesny) are two outstanding players who are part of our squad. They have played so many games until now. Their position is very important in the squad," he said.
"But every position is up for grabs. You have to face it like that, the last game decides the next one. All the players are in the same position. Nobody is guaranteed places in the team."
Arsenal begin the weekend in fifth place in the league table, five points shy of the fourth and final Champions League berth, which is currently occupied by Chelsea.
"For us, every game is a cup final now," Wenger said.
"Swansea is always a difficult place to go and we will need to repeat the game we had at Bayern Munich, it is as simple as that -- solidarity, fighting spirit and win at all costs."