Wenger's men were beaten 1-0 at Stoke on Saturday and that, combined with the day's other results, left them third in the table, level on points with second-placed Liverpool and four adrift of Chelsea with each having 10 top-flight matches to go.
The Frenchman described the loss at the Britannia Stadium as "a big worry" and "a major setback". It came on the same day as Chelsea won 3-1 against Fulham at Craven Cottage.
And although he has insisted he is not going to try to assess Arsenal's title prospects at this stage, when asked how difficult it will be to close the gap between them and Chelsea, Wenger said: "We cannot say it's easy.
"It is difficult, but I expected them to win at Fulham."
Wenger also said he was not worried about Arsenal's potential to bounce back.
And when it was put to him that people say Arsenal sometimes dip at this crucial point in the season, the 64-year-old replied: "I would say look at our results at the crucial point in the season and you would be surprised.
"Somebody says something that is not checked and everyone repeats it and it becomes an opinion, even if the facts don't show it.
"Our end of season has always been very strong."
Arsenal's record over the last 10 top-flight campaigns shows that on only two occasions has their final position in the table been worse than it was after their first league game of March.
Three times they have ended up in the same position, and five times they have finished in a higher spot.
The rest of the month looks crucial for Arsenal's current title challenge, with their league fixtures seeing them take on fifth-placed Tottenham and title rivals Chelsea - both away - and then Manchester City at home.
They are also still fighting on two other fronts, and prior to that trio of league matches they have the second leg of their Champions League last-16 tie against Bayern Munich on March 11 - they lost the first leg 2-0 at the Emirates Stadium - and a home FA Cup quarter-final meeting with Everton next Saturday.
Arsenal have not won a trophy since the 2004/05 FA Cup and Wenger is in no doubt as to the importance of the encounter with the Toffees, but he dismissed the idea that the Stoke loss had made it any more vital.
He said: "The FA Cup game is important because it is our next game, but you do not fight the whole way and throw the championship away just because you want to play the FA Cup.
"Stoke was a big game. We have fought since the beginning of the season to be in that position, and of course it was a big game."
Arsenal have frequently struggled at the Britannia Stadium, winning only once in seven visits to the ground in all competitions since Stoke were promoted to the Premier League in 2008.
For the first six of those, the Potters were managed by Tony Pulis, whose team had a reputation for direct, physical football and were once accused by Wenger of employing "rugby" tactics.
Pulis' successor Mark Hughes has tried to implement a more cultured style of play, but there was some rough-looking treatment for Arsenal on Saturday, and for their striker Olivier Giroud in particular.
Stoke midfielders Glenn Whelan and Charlie Adam appeared to stand on the France international and while neither was punished by referee Mike Jones, the latter incident may lead to retrospective action by the Football Association.
Wenger said: "I don't judge Stoke. They made the game very physical and it suited them, but I feel, honestly, they were very lucky to win the game.
"A draw would have a much fairer result."
Stoke forward Jon Walters scored the winner with a penalty in the 76th minute after his flick struck Laurent Koscielny on the arm, prompting Jones to point to the spot.