Walcott's gesture seemed to come in response to a barrage of abuse and hurled objects, and Arsenal chief Wenger believes his player should escape punishment.
"I don't think he will be in trouble, he was not aggressive and he was smiling," Wenger is quoted as saying on BBC Sport.
"The doctor said to me coins had been raining on his head and they had to protect him and that is maybe why he did that."
Wenger said: "People will look for every single incident. It is a reaction but he didn't offend anybody.
"My response to the suggestion that he could be in trouble is to say the FA will have seen the pictures on television. If they judge it as offensive what can I do?"
The Arsenal man has been on fire since his return from injury and featured prominently in their derby win before being stretchered off.
Another injury would be a blow to the Gunners who already face a striker crisis, and Wenger is unsure how long he may be without the speedy forward.
"We don't know if it is a stretched ligament in his knee or just a kick," said Wenger. "He took a couple of kicks. We have to wait and see."
The Gunners now have a nine-day wait before their next fixture against Aston Villa at Villa Park, and are hopeful of a returning Olivier Giroud.