Raheem Sterling won a dubious penalty in his side's semi-final clash at Wembley Stadium.
Under minimum contact, the Manchester City winger went down inside the box - with match referee Danny Makkelie pointing to the spot.
Harry Kane missed the subsequent spot-kick, but scored on the rebound to send the Three Lions into the final.
England's penalty, though, was the talk of the game following the final whistle, with former Arsenal manager Wenger asking why VAR didn't get involved.
The legendary Frenchman doesn't think it was a penalty, saying: "No penalty. I don't understand why in situations like that the VAR, the referee doesn't go and look on the screen.
"In a moment like that, he has to be absolutely sure."
"No penalty, I don't understand why VAR has asked the referee to look at it!"
Arsene Wenger has had his say on that England penalty... #beINEURO2020 #ENGDEN #EURO2020
Watch Now - https://t.co/RRmQgctETJ pic.twitter.com/cYiv030Aw4
- beIN SPORTS (@beINSPORTS_EN) July 7, 2021
The penalty proved crucial as England beat Denmark 2-1 to book their place in the final of Euro 2020.
Gareth Southgate's charges face Roberto Mancini's Italy in London on Sunday.
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