"I don't believe you just can stop a competition from any incident as I think it rewards the people who provoke the incident and means any competition is stoppable at any time," added Wenger, who has two Ivory Coast players at the finals.
"The international federation has to make sure the security is good enough for the competition," the Frenchman said after Arsenal's 2-2 Premier League home draw with Everton on Saturday.
"I think maybe you have to leave it individually to some players if they feel insecure but I personally feel the competition has to go on."
Togo's territorial administration minister Pascal Bodjona said on Saturday the national team was pulling out of the tournament because the players were in a state of shock.
He added in a statement that the Togolese government "do not think the security which should have been placed around our players is giving the necessary guarantees". "I'm surprised Togo have pulled out but the competition has to go on if the security is well presented," said Wenger.
Everton manager David Moyes, whose club also have two players in Angola with Nigeria, agreed with Wenger.
"I think everyone had questions (about Angola) but we are in a world where we are trying to give opportunities and football has to give people the opportunity," said the Scot.
The African Nations Cup kicks off on Sunday and finishes with the final in the Angolan capital Luanda on January 31.
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