The north Londoners saw a successful start to the season abruptly halted at the weekend as they fell to a 2-1 defeat to Chelsea at the Emirates Stadium.
Arsenal sit seven points shy of the Barclays Premier League leaders as a result, but attention now turns to their Champions League campaign.
Wenger's side takes on the Greek champions on Wednesday and the Frenchman wants to see an improved performance in the Group B encounter.
"The players are focused and disappointed that we lost the game," the Arsenal manager said.
"They are still down of course, but we have a Champions League game in front of us at home and we want to put things right.
"It is about how we respond. I am impressed by the mentality of my team, but the mentality is as well about how you respond to disappointment.
"I am confident we will, but that is what we want to show tomorrow [Wednesday]."
Arsenal will be hoping to make it two wins from two Group B games tomorrow, having returned from Montpellier with three points on matchday one.
Olympiacos lost their opener at home to Schalke and Wenger knows tomorrow's clash at the Emirates provides a chance to take a stranglehold on the group.
"Olympiacos are already in a position where their backs are to the wall because they have lost at home and in this Champions League when you lose at home it is very difficult," the Frenchman said.
"They are highly motivated to know they have to give everything to make it through. They are experienced and basically it is the same team (as it was) at the back of last season.
"I think they had a difficult start against Marseille and after became stronger and stronger through the competition last year.
"It looks similar this year, they had a difficult start at home against Schalke and if you analyse their team it is 90% the same as last season."
Wenger, who is still serving a three-game touchline ban, will have to do without several key players on Wednesday night.
Goalkeeper Wojciech Szczesny is still three weeks from a return from an ankle injury, while midfielder Tomas Rosicky and right-back Bacary Sagna remain sidelined.
Playmaker Mikel Arteta faces a fitness test on an ankle injury, while midfielder Abou Diaby is out with a thigh strain that forced him off against Chelsea.
Olympiacos will have to do without talisman Rafik Djebbour for Wednesday's trip.
The Algeria international was rested for Saturday's 1-0 league win at Atromitos but has failed to recover from a thigh injury in time for the match.
Djebbour is joined on the sidelines by Ljubomir Fejsa, Vassilis Torossidis and Tassos Papazoglou, while Francois Modesto faces a late fitness test.
"Our aim is to perform well," Olympiacos coach Leonardo Jardim said.
"We are not the favourites in this match, yet in football you never know what can happen."