"You want everybody there when the game starts," the Frenchman told reporters on Friday.
"For me, the game is a joy and everyone has to be part of it. You can protest before and after, but during the game you want everyone to be there.
"Life is not every day fantastic -- sometimes it's boring, sometimes it's difficult for many people. Football is a moment of happiness in your life, so don't miss it."
News that makes sense
Your trusted source for staying up-to-date with the world around you. Get free daily news updates and analysis, straight to your inbox.
Arsenal fans have been asked to back their Leicester counterparts in a show of unity.
The price of tickets in the Premier League has been a hot topic this week with thousands of Liverpool supporters walking out of last weekend's game at Anfield against Sunderland in protest at the rising costs.
Wenger said Arsenal did not have a "massive problem" with their own prices.
"I looked at the comparisons. Our cheapest prices are cheaper than anywhere in London. Our most expensive price is a fraction higher than the other clubs in London and our most common ticket price is lower than many places in England," he said.
But the Frenchman added comparisons should not be drawn with some foreign clubs who charge less for tickets.
"For example, Bayern Munich paid 1 euro ($1.13) for their ground while we paid 128 million pounds ($185.7 million) for ours. In France they pay nothing at all for their stadium, nothing at all for maintenance.
"We pay absolutely everything ourselves so we have to generate more revenue.
($1 = 0.6892 pounds)
($1 = 0.8873 euros)
(Reporting by Simon Jennings in Bengaluru)
