The shock leaders moved five points clear at the summit having won 3-1 at Manchester City on Saturday.
Arsenal are eight points adrift of Leicester ahead of their tricky trip to Bournemouth with Wenger's side without a league win in their last four outings.
And the Frenchman knows everyone other than fans of the clubs fighting for the crown will be willing on Leicester for what would be the most surprising title success of the Premier League era.
“Of course. And it’s natural. It’s normal,” Wenger said when asked if the whole country was behind Leicester.
“The advantage they have until the end of the season, apart from our fans and the City fans and Tottenham fans, the rest of the country is behind Leicester.
“You reproach me about not buying big names but you will support the team who have no big names.”
While Leicester are leading the way, Bournemouth are on course to achieve their own target of staying in the division.
And Wenger is a big fan of Eddie Howe, comparing the 38-year-old Englishman with Leicester.
“He has done extremely well,” Wenger said.
“When I see his team play, they play well and you see he has done a great job there.
“Leicester are a bit like Eddie Howe, you know. I think it’s great to see that. That’s why you ask me always ‘why do you not buy a big name?’
“But Leicester are a fantastic example that football is not only about just spending the money.
“It’s the quality of work and it’s important to think that the quality of the work can get you there. Leicester are a very good example for our league.”
Howe has worked his way into the top flight with Bournemouth and Wenger says a future job at a top-four club is a possibility.
“Yes, of course it’s possible,” he said of Howe’s top-four managerial credentials.
“You cannot rule it out. He is from this country, he is young. He already has good experience.
“I am sure that there are more Eddie Howes in the country. I am absolutely convinced about that.
“Where I agree with you is that it’s difficult for them to get in now. With so much at stake, that somebody to be brave in life and say ‘look, I give it to you’. It’s not easy to find.”
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