Harry Kane scored England's 104th-minute winner, firing home the rebound after his spot-kick was initially saved by Denmark goalkeeper Kasper Schmeichel.
Raheem Sterling won the penalty going down on the byline on the right side of the box under pressure from Joakim Maehle.
Sterling claimed post-game it was a "clear penalty" but Wenger - who is now FIFA's Chief of Global Football Development - disagreed, insisting the VAR should have summoned referee Danny Makkelie to look at the replay at least.
"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 said.
"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."
The 71-year-old former Arsenal boss did not go as far as saying the VAR had let down Denmark, labelling them "unfortunate".
"I think the VAR has let the referee down, not Denmark," Wenger said.
"Denmark is a bit unfortunate. It's difficult for the referee but he must have a look at it."
The penalty was the 17th awarded at Euro 2020, with Kane's initial effort becoming the eighth spot-kick missed.
Only 13 penalties were awarded in total in the group stages of the past three European Championships.
Last week, UEFA chief refereeing officer Robert Rosetti attributed VAR for the rise in penalties at this tournament.
England will play Italy in Monday's (AEST) Euro 2020 final at Wembley.