In nine matches over more than nine years with Wenger, Mourinho has won five of them and drawn four.
Yet with the Blues demonstrating familiar failings in Tuesday's Capital One Cup quarter-final loss at Sunderland, Mourinho is wary ahead of the Emirates Stadium trip.
"Every time we miss a chance and the score is 0-0, 1-0, 2-1, 1-1, I feel the pressure," Mourinho told Chelsea TV following the extra-time loss at Sunderland.
"I feel that missing the chances, maybe later you are punished. We have this problem."
The Sunderland loss was Chelsea's seventh of the season, including the penalty shoot-out defeat against Bayern Munich in the European Super Cup, a result Mourinho does not consider as a defeat.
Mourinho added: "We were poor against Basle (but) in every match we lost in England, in the Premier League and in the cup (at Sunderland), we were the best team by far.
"We were always very comfortable on the pitch, we had unbelievable chances to score to kill the game. We don't do it.
"Late goals are a consequence of a team that doesn't kill an opponent. If you score two, three goals the opponent is dead and the opponent has no reaction."
Chelsea's strikers Fernando Torres, Samuel Eto'o and Demba Ba have faced the brunt of the criticism for the poor performances in front of goal.
Now Mourinho has also hit out at the trio for failing to keep possession and sparking counter-attacks against Stoke, Crystal Palace and Sunderland which led to goals against the Blues, whose defence has been far from firm, with one clean sheet in the past seven games.
"In all the three situations we were punished on the counter-attack when our striker dropped back into midfield and lost the ball," Mourinho added.
The League Cup win at Arsenal, coming two days after the Premier League defeat of Manchester City, was Chelsea's high point of the season so far.
A repeat success at the Emirates Stadium could take Chelsea top of the Premier League at Christmas, the significance of which Mourinho has downplayed.
It is clear he sees plenty of room for improvement and his continued frustration has led to speculation Chelsea will delve into the transfer market in January.
But gone are the days when Chelsea owner Roman Abramovich will write a cheque and players were signed whatever the cost.
Chelsea are sticking rigorously to Financial Fair Play regulations and Mourinho has suggested the club will only recruit next month in exceptional circumstances.
Whether the striker situation counts is open to interpretation, but Mourinho would likely have to offload one of Torres, Ba or Eto'o in order to sign another forward, particularly with Romelu Lukaku set to return next summer following his season-long loan at Everton.