Their north London rivals Spurs have no intention of selling their star man but Real Madrid are said to be ready to test that resolve with what would be a world-record fee.
Wenger feels such figures would go completely against the new UEFA-driven regulations aimed at making sure all clubs balance the books.
"It makes a joke of it. It's quite amazing that in the year where the Financial Fair Play comes in, the football world has gone completely crazy," said the Arsenal manager, who has yet to make a marquee summer signing despite having significant funds available.
"You wonder what kind of impact and effect it has on the football world. It looks like it has made everybody worse than before."