The US last week imposed a travel ban on those who seized power from Mauritania's first democratically elected government in August.
"They never touch the leaders," he said, adding that while a leader could easily evade sanctions, it was the population that would feel their impact, the BBC reported.
The military leaders justified their action saying the deposed president had failed to tackle economic and security challenges. The coup is widely popular with the members of the National Assembly and the Senate. President Wade suggested this needed to be taken into account.
The EU is due to continue talks with the leaders who overthrew Mauritania's first democratically elected President, Sidi Mohamed Ould Cheikh Abdallahi, pressuring them to release him from house arrest.
Non-humanitarian aid has already been suspended.
The African Union suspended Mauritania's membership shortly after the coup and had threatened to impose further sanctions if Abdallahi was not freed before 6 October.