The Arsenal manager was talking after Reyes, who joined the Gunners 13 months ago, was tricked on Spanish radio into admitting that it was his ambition to play for Real Madrid.
An interviewer posing as Real Madrid's sporting director Emilio Butragueno asked Reyes questions that drew a response from the 21-year-old confessing he would love to play for Spain's most successful club. That did not disturb Wenger, who believes Reyes still has a bright future in north London. He said: "We signed Reyes as a young player. We have gone for a big challenge to make him one of the big players of the world and we have gone in for that together. Within that period the player will have ups and downs.
"He has the right to have a club of his dreams in his country. I don't find that shocking. Who wouldn't have that? If an English player goes tomorrow to Portugal he will have the club of his dreams [back home] because it cannot be Benfica."
After signing for a club record pounds 10.5m last January from his hometown club Sevilla, Reyes made his mark with the winning goals against Chelsea in last season's FA Cup fifth round. The striker scored five times in total last season.
He started this campaign in bright fashion with five goals in the first five league games but has not scored in the Premiership since October or at all since the FA Cup third round.
Reyes has been sidelined in recent months, as a substitute or playing out of position on the left wing, yet Wenger sympathised with the Spanish international for being unhappy at not playing, also saying he had expected Reyes' form to dip at some point.
Wenger did not say if he would pick Reyes against Crystal Palace on Monday, but added: "I think he is very upset with the way he has been treated by the radio.
"He is frustrated at the moment. Also he had issues around Christmas but they were incidental because they were linked to health problems and his family. You can have those problems whether you're in Madrid or London. I am still convinced that he will be a big player but there will be periods where he is not happy. You can ask Michael Owen; he has had a period where he is not happy [at Real Madrid].
"He is well integrated here, we have a good Spanish group and he is liked by everybody. He has a challenge in front of him, because he has made a decision to join us." Asked whether he would sell the Spanish international this summer, Wenger confirmed his desire to hold on to him. He said: "I do not know why I should sell Reyes. It's simple: if a player wants to leave he has to knock on my door and tell me and then he has to bring a club who wants to buy him.
"My commitment, my desire to keep Reyes is stronger than ever because I believe in him. And that's it. It is normal for him to have some problems on the pitch because of his age. You don't have the stability in your performances that you have when you're 25. You know that when you buy a young player."
Wenger also felt Reyes' form had suffered with the physical treatment handed out to him a few months ago at Old Trafford and in European competition but said: "Maybe he was targeted by some clubs earlier this season. That could have been a problem for him but that makes you stronger. Patrick Vieira and Thierry Henry have gone through that as well. It's the price you pay for talent."
Wenger also admitted that he is likely to be without the central defender Sol Campbell for the first leg of the Champions' League last 16 match against Bayern Munich. The two clubs meet in 10 days' time in the first leg in Germany but Campbell's ankle injury, picked up in the recent defeat against Manchester United, is healing slowly.
Wenger said: "Sol is out for at least one more week. I don't think he will play in the first leg against Bayern. He has only a small chance to be fit for that game."Reuse content