Fabregas joined Arsenal as 16-year-old from Barcelona and had graduated to the role of skipper by the age of 21 before being sold back to the Catalan club in 2011.
Arsenal had the first option to sign him for a second time from Barca when Chelsea made a £27 million move for the Spain international last year, but did not take up that chance.
The midfielder will return to the Emirates Stadium as a Chelsea player for the first time this weekend and is expected to be booed by many of the home fans.
"I want every player to be respected and Cesc Fabregas when he comes to the Emirates on Sunday to be respected like he deserves," Wenger said.
Asked about the sale of Fabregas, Wenger added: "The regret I have is that he wanted to leave here. This club and myself had a very positive influence on Cesc's life, so I would be a bit uncomfortable to have to justify today why he is not here.
"I believe I would rather it was the other way around."
Arsenal trail leaders Chelsea by 10 points, having lost 2-0 at Stamford Bridge in October to extend Wenger's winless run against Jose Mourinho to 12 matches.
