Wenger believes VAR should have intervened when referee Danny Makkelie pointed to the spot after Raheem Sterling went down in the box under pressure from Denmark defender Joakim Maehle towards the end of first half extra time.
Harry Kane gave England the lead from the rebound after Kasper Schmeichel saved his spot kick, with Simon Kjaer’s own goal cancelling out Mikkel Damsgaard’s exquisite free kick opener for the Danes earlier on in the game.
"No penalty. In a moment like that, I don’t understand why they [the VAR] didn't ask the referee to have a look at it to be clear," Wenger, who is FIFA’s Chief of global football development, said on beIN SPORTS.
"In a moment like that it's important the referee is absolutely convinced it was a penalty. It was not clear enough to say 'yes it is'.
"He should've at least had a look at the screen. I don’t know why the VAR didn't ask him to go."
"I think the VAR has let the referee down, not Denmark," Wenger added.
"Denmark is a bit unfortunate. It's difficult for the referee but he must have a look at it."
England will now take on Italy in the EURO 2020 final at Wembley on Sunday.