The religious upbringing in eastern France has left Wenger with a principled outlook that he has tried to uphold in his soccer career.
"Belief is important, and I am forever grateful for the values my religion has given," he said. "And basically if you analyze it, all the religions spread good values and positive values, and that is important that you find that in our sport."
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 soccer: 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 soccer, the sport can seem to have lost its soul in an era of rapidly growing salaries for players and ticket prices for fans. 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 soccer, Wenger has tried to adopt what he calls a "socialist model" for Arsenal's wage bill.
Following that model becomes harder when you need to deliver success while competing against big-spending teams. Wenger broke 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.
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 have lost 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."
Rob Harris can be followed at www.twitter.com/RobHarris .