Last week a late Robert Lewandowski strike condemned the Gunners to a 2-1 Champions League defeat to Borussia Dortmund at the Emirates.
That loss was compounded on Tuesday night by their Capital One Cup exit to rivals Chelsea, for whom Cesar Azpilicueta and Juan Mata netted in a 2-0 win.
Not only did that knock Arsenal out of the competition but it saw them suffer back-to-back home defeats for the first time since a miserable few days in February, when Blackburn and Bayern Munich won in north London.
Liverpool will be hoping to extend that run to three straight home defeats on Saturday - a result Wenger knows the league leaders can ill afford.
"It's better to win," the Gunners boss said. "It's difficult, but that's part of the season.
"We know the games. We have to respond well against Liverpool.
"We are in a strong position in the league and have a good opportunity at home, and we have to turn this round.
"Away from home we are very solid, but at home you know it's important and vital to win the big games."
Victory over Brendan Rodgers' side will help to quieten those suggesting Arsenal are unable to compete against other top teams.
Chelsea sit just two points behind Arsenal heading into this weekend's matches, which sees them travel to Newcastle buoyed by wins against title rivals Manchester City and Arsenal in a three-day period.
"It gives you that confidence," said assistant first-team coach Steve Holland, speaking instead of Jose Mourinho.
"It has taken a bit of time in the early weeks. We've now hit a spell where we have won six consecutive games in October.
"The training and Jose's principles of play, that he's been hammering home every day, there has been evidence in a few games now.
"The focus in training isn't on the team for the next game, but all the individuals in the squad.
"Everyone is singing from the same sheet then, whether it was Willian defending in those wide positions or Andre Schurrle on Sunday.
"The understanding of what was required for the team was the exactly same and that I think is a really significant thing moving forwards."