Negotiations over a new deal for Walcott have progressed slowly and he even turned down a contract in the summer.
Foreign clubs could strike a pre-contract deal for Walcott in January, while his market value will be at its lowest considering the length he has left on his current terms.
But a defiant Wenger said: "I don't know if you call that high-risk [not selling him in January] but it is just my opinion. What is important is what we achieve together for the season. To do that I just think that Theo is a big part in that.
"There's a risk, yes, but that we are ready to take. A successful season is more important for us than this risk that is only a financial risk, apart from losing the player.
"If we sell him we lose him anyway. I believe that we started the season with this squad and we want to finish the season with this squad."