Alexis Sanchez will miss Arsenal's preseason training camp in Austria as he has to go to Paris to obtain a visa.
Sanchez, 25, joined the Gunners from Barcelona this summer but is yet to link up with his teammates following his involvement in the 2014 World Cup with Chile.
And he will have to wait until the latter part of the week before linking up with the Arsenal squad for the first time.
Wenger told reporters: "I don't think Sanchez will come to Austria because he has to go to Paris to get a visa, so he will only go to London Colney on Tuesday and we come back on Thursday, so he will work in London."
The situation with Sanchez and the news that Germany internationals Mesut Ozil, Per Mertesacker and Lukas Podolski will miss the start of the Premier League season due to their late return from the 2014 World Cup has left Wenger ruing Arsenal's short preseason.
He said: "The real work starts now and then the Emirates Cup this weekend. The problem is our preseason will be very short; these post World Cup years are a nightmare for us because we have no preparation."
Wenger was boosted by the addition of Calum Chambers to the Arsenal playing squad, though. The 19-year-old Southampton player's transfer is expected to be confirmed on Monday.
"He can play at centre-back, right-back and central midfield," Wenger said. "I hope he will give us competition for the players in this three positions.
"He hasn't played many games, no, but the English players on the market in England are very expensive and at the end of the day I was ready to take a gamble because he is a player for the future."
On the addition of Colombia goalkeeper David Ospina, who signed from Nice on Sunday, Wenger added: "I've known Ospina for a long time because he plays for Nice. He went there a few years ago and slowly became a very important player.
"You can see he has quality because Hugo Lloris played for Nice before and after he moved to Lyon they got Ospina and and Lloris is not an easy player to replace.
"I think he also did very well at the World Cup. We had three or four candidates and I decided to sign him during the World Cup."