The former England boss has struggled to achieve consistency since being appointed at St James' Park in the summer and they lost at the Emirates Stadium on Saturday.
The 54-year-old McClaren has already come under pressure from some quarters despite recent wins over Liverpool and Tottenham.
But Wenger feels his counterpart deserves more time.
"He has only just joined the club," Wenger replied when asked about speculation over McClaren's future.
"Newcastle is a very exciting project because it's a very big club and it's a fantastic and exciting job for a manager like Steve McClaren, but it is a long-term job.
"(Newcastle) has a huge potential and in six months it's impossible to transform a club of that stature into a club competing for the Premier League. Give him time.
"I know that patience is not the first quality in our society but, unfortunately to be successful, you need it."