A section of Leicester fans plan to enter the ground five minutes after kickoff in protest at the game being rescheduled from 1500 GMT on Saturday to 1200 GMT on Sunday.
"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.
Fans can return from Monday, Premier League targets full stadiums next season
"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."
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)
It is fine for Wenger to state such an opinion, but he is not a fan being hit hardest in the pocket in struggling to watch his favourite team on a weekly basis. While Wenger has been making the point that Arsenal are not exploiting fans, the West Brom manager Tony Pulis would like to see a return to the days when away fans were charged only £10 for admission. That is a level of pricing worth aiming for. It would also send out a clear signal that Premier League are more interested in supporters than making money from supporters at every turn. There is a reason why Arsenal and Leicester fans will miss the start of the match, and it is a valid one.
'We can achieve special things' - Cavani agrees Man Utd contract extension
Juve face Serie A expulsion if they don't withdraw from ESL - Italian FA