Hodgson has expressed his anger that his England side's achievement in reaching the World Cup has been overshadowed by the leaking of a joke he told in the dressing room at half-time in the qualifier against Poland.
Hodgson issued an apology for any offence caused by his comments, which were designed to illustrate the need to get the ball quickly to winger Andros Townsend.
The Tottenham man tweeted on Thursday morning to say no offence had been meant or taken, and team-mate Wayne Rooney was also adamant that Hodgson had done nothing wrong, but nevertheless details of the joke were somehow leaked to the media.
Wenger said: "You basically want (everything) to remain in the dressing room - it is an old phrase which you know well in England.
"But unfortunately these times have gone, so today you have to be very careful about what you say, wherever you are.
"I must say that I don't really know what happened, but we can go sometimes a bit overboard at half-time, it is an emotional situation, there is a lot of desire and effort in there.
"I don't really know what happened. What has he really said? What does it really mean? You have to be in the situation to know - I don't know really what happened."
Wenger added that what might be okay for one dressing room would be inappropriate in another.
He added: "You have to adapt to the culture of your team. When you go to Japan, you have to be cautious, because what looks normal in an English dressing room, suddenly looks completely shocking in a Japanese dressing room.
"You adapt to the culture of where you are, but sometimes you can say one word stronger and that is not politically correct, that can happen to any manager."
Fulham manager Martin Jol believes that Hodgson, one of his predecessors at Craven Cottage, has been unfairly treated.
He said: "He was joking about it probably, or maybe he wanted to motivate or inspire them, I would do that you know.
"If you know Roy Hodgson, if you know the reaction of the players, I think there's nothing in this little incident."
Source: PA
Source: PA