Wenger has always been a man of strong principles, and Arshavin has revealed the players are given no input into the way the football club is run.
"When you have a mundane, domestic problem, he's always very supportive," Arshavin is quoted as saying by The Sun. "But when it comes to Arsenal, no-one would dare approach him with questions about football or suggestions to change something round. Everyone knows what the answer would be.
"We've never had the 'big talk', although I have voiced my opinion a couple of times. He smiled in an understanding way but he has his own ideas."
Arshavin has found himself marginalised at Arsenal this season, with Gervinho and Theo Walcott preferred in advanced wide positions. His contract is due to expire in the summer, leading to suggestions he will return to Russia - perhaps as soon as January, should Arsenal want to recoup some cash for the man they signed in 2009.
"If my situation does not change, I may look at it [in January] - but not right now. But it is clear the salary is important," Arshavin said.
Another who may leave the Gunners in the forthcoming transfer window is midfielder Francis Coquelin, who has lamented his lack of first-team chances. Coquelin has started two league games this season, but wants more action, having been given a taste of top-flight football whilst on loan at Lorient last term.
"I thought I had a shot to play so I decided to stay at Arsenal," he said. "I played a lot at first, even big games, but when players came back from injury I just disappeared.
"It is often said that when you are young you have time but I played a whole season at Lorient and now I'm virtually not playing at all. It's annoying. Given my playing time here, the idea of a departure this winter is in my head for sure."