The England forward is currently in negotiations over an extension to his deal which expires in the summer.
Wenger is adamant that Walcott will not be sold in January, but as yet there are no signs of a swift conclusion.
Walcott is said to be determined to prove himself in the central striker's role, from where he scored the final goal in a 5-2 win at Reading on Monday night, while his representatives are also pushing for a package of up to £100,000 a week.
However, after taking a "gamble" on signing Walcott as a raw 16-year-old in a £12million deal in January 2006 and helping develop him into an England regular, Wenger feels Arsenal are owed a debt of gratitude.
"What is important to keep the young players together is that at some stage I have stood up for them; I played you at 17, 18, 19 years of age and I know I took a gamble," Wenger said.
"It is easier to take a player of 25 and put him in the team. You know what you are getting.
"If you put them in at 17 or 18, you have to stand up for them. You risk losing games while they are learning their job. Once you have produced them you want to say, 'Okay, let's stay together and win together.'
"Somewhere along the line they need to give back to the club what the club has given to them.
"When a guy gets to 30, you can understand it is his last contract and if he feels he wants a change. This is a more sensitive age, but basically, it is a reward for our policy."