With Premier League clubs spending in excess of £200million last month, the Gunners boss again decided against splashing the cash.
Arsenal's record buy remains Russia international Andrey Arshavin at £16.9million in January 2009.
And the Frenchman's starting XI in the victory against Everton on Tuesday was collated for just £40million in total.
Wenger's policy has upset some fans at the Emirates after the club announced pre-tax profits of £56million last September.
However, Wenger told The Sun: "I don't think I have to be especially ashamed of how much I have spent.
"We've gone for a different policy. I don't criticise people who invest bigger.
"We have gone for development of our youth system with the philosophy that is internal so we are less in demand to bring any external in."
