The Arsenal player was asked to play tucked in behind Wayne Rooney and Harry Kane for the first 55 minutes of the 1-1 draw with Italy but was a largely anonymous figure who looked lost in the noisy Juventus Stadium.
Wenger admitted the "No10" role was not one he had ever considered for Walcott even in training and will assess his confidence before deciding whether to put his arm around him and give him a pep talk before tomorrow's crunch game against Liverpool at the Emirates.
"Theo's strength is the quality of his movements, he wants to go to get on the end of things," Wenger said. "He's not a guy who provides.
"I don't worry about Theo because he's not completely there yet and I told you that a few times he has been out for a year with a very bad injury and he's coming back.
"But being exposed like that, people have a harsh judgment on him that is not deserved because he does well. For me, he is on course to come back but he's not completely there.
For me, he is on course to come back but he’s not completely there.
“I am worried about Theo’s confidence, because he wants to do well. He’s sensitive and I’m a bit concerned about the damage that game can have on his mind.
“He is not fragile mentally, he is strong mentally. But he is disappointed because when you come back you always think you are ready.
“I will see what state of mind he is in. We always have a word, if it is a positive experience or a negative experience, you ask how did it go. We always speak about the last game.
“He needs patience. He is at the moment not in his best mood. He is not a fragile type. He has big confidence in himself and he has gone through some difficult periods in his life and he has always come out with strength. At the moment he is frustrated, but that is normal.
“I don’t think it was the intention of Roy Hodgson to play him there. It’s maybe Rooney who took the initiative during the game to play higher up and tell Theo to drop back.
“I haven’t seen Roy Hodgson in the game standing up to say, ‘Walcott, you come and play in midfield and Rooney you go up front’. That’s an initiative they took on the pitch.”
Walcott suffered cruciate ligament damage in January last year and his return was further hampered by a thigh injury, restricting him to just a handful of appearances for Arsenal this season.