Walcott, who turned 28 on Thursday, was a surprise omission from Southgate's squad to face Germany and Lithuania, with the likes of Nathan Redmond and Jesse Lingard preferred instead.
Southgate did leave the door open for Walcott to find his way back into his plans and conceded he did not expect the player to be pleased about dropping out of the squad.
"It is a really tough call on him," the England boss said.
"(It's) one I don't expect him to be chuffed to bits about, but I wanted to look at a couple of others. He's still very much in our plans, and can force his way back."
Wenger also praised Walcott for giving the right reaction to being left out of Roy Hodgson's Three Lions squad for last summer's ill-fated European Championship campaign.
"He is a focused player and was not picked for the European Championships," said Wenger.
"Always in life you try and get to the next level when things don't go for you or you think you do everything right and continue to live like you did before - and he had the right response. He said 'what do I need to do to get higher up?' and he did it."