The 63-year-old Frenchman was speaking on a visit to London's Jewish Museum surrounded by an exhibition exploring the role of British Jews in football: Football, fans and faith.
Wenger talks fondly about how "in every religious community sport is an occasion for people to get together and of course defend the values."
For some in football, in an era of rapidly expanding pay packets for players and ticket prices for fans, the sport can seem to have lost its soul. Wenger is not so disconsolate.
"Sometimes you see that professional football has moved a little bit away from very, very important values that have existed at the start of the game," he said.
"The values that are important in the game today are the same (as always)," Wenger said. "It is a respect for others. It is learning to lose. It is learning to cope with pressure. It is learning to cope with a team sport. So that is exactly the same. Of course the environment is completely different. Why? Because of professionalism and the money."
With an economics degree and as a long-time advocate of greater financial responsibility in football, Wenger has tried to adopt what he calls a "socialist model" for Arsenal's wage bill.
That becomes harder when the need the deliver success saw Wenger break Arsenal's transfer record last month to sign Mesut Ozil for 50 million euros ($66 million). Retaining the best talent in the squad also requires salaries to rise in turn.
"I always say to the players, 'Forget the money,'" Wenger said. "What is important is how well you play together, what you share together is much more important. The money is only a consequence of your experience. The real experience is the game.
"And I see that with many players who have stopped their careers. It's not the money they miss because they have money. It's that kind of experience. To share the values of our sport, to share the values of being together. And achieving something together."
Wenger built his reputation in England on unearthing talented foreign prospects and turning them into Premier League stars.
Not everyone was impressed. Selecting an entire match-day squad without an Englishman for the first time in Arsenal's history in 2005 helped stir a debate over foreign players that continues to this day.
Only this week one of Wenger's leading players, Jack Wilshere, expressed unease at calls for young foreign-born players to be naturalized and become eligible to play for England.
For Wenger, it's a complex issue in a world where national identity has become increasingly blurred.
"We live in a global world," Wenger pointed out. "I have players who have three different nationalities. And at the end of the day I ask them, 'Where do you really feel you belong?' And that is for me where you are from."
"I have boys who have come from Africa. Many immigrants now come to Europe, they stay four or five years in one country, then they move to another country and they have three different passports," he said. "At the end of the day, I believe you are from the country where you feel the most comfortable with the culture of the country."
Wenger never reached a high enough standard as a player to be called up by his country. Success has instead come from the dugout, although his team's last trophy was the 2005 FA Cup and it hasn't won the Premier League since 2004.
This season started with jeers at the Emirates Stadium when Aston Villa inflicted a defeat that prompted questions about how long Wenger would remain in a job he has held since 1996.
However, since that opening day setback, Arsenal has reeled off 10 successive victories in all competitions before drawing a West Bromwich Albion on Saturday. His side entered this two-week international break at the top of the Premier League.
There is no gloating, though, at proving wrong the fans who seemed to lose faith in him.
"It's not a personal battle," he said. "My desire is I love to win. I love to do well. I just feel I am happy if I can give some pleasure and happiness to people who love Arsenal. That is my main target. When I don't achieve that I am very disappointed."
Plucked from the relative obscurity of Grampus Eight in Nagoya, Japan, Wenger has delivered three Premier League titles and four FA Cups over his 17-year reign.
As for the future, it's one he clearly envisages in his adopted homeland.
"I can see the rest of my life in England, why not?" Wenger said as the interview drew to a close.
"I feel comfortable in this country because we share a common passion for football and as well I am very thankful for this country for having accepted me and giving me a chance," he added. "I am happy on the football pitch."
And he shows no desire yet to leave it.
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Rob Harris can be followed at www.twitter.com/RobHarris .