The Gunners slumped to a lacklustre 1-0 defeat at Norwich on Saturday, which left them 10 points behind early Barclays Premier League pacesetters Chelsea and with their credentials to last the distance called into question once again.
Wenger's men have an opportunity to provide a quick response when they host Schalke in the Champions League tomorrow [Thursday] night, where victory over the Germans would all but secure qualification from Group B for the knockout stages with three matches to spare.
That would perhaps go some way to calming the waters ahead of Thursday's annual general meeting at the Emirates Stadium, where the future direction of the club which last won a trophy in 2005 will again be high on the agenda.
"I can understand that, and I share that concern. I believe we can compete," said Wenger, who concludes his European three-match touchline ban tomorrow [Thursday] night.
"The three points we dropped at Norwich are not welcome and it came at a period where we absolutely needed to win this game, but for the rest we are in a strong position. What is very important is that we do not lose more ground.
"At the moment, I agree it (the gap) is a lot, but we have just to focus to get closer now.
"For us, it is not the number of points only, it is that the margin of error we have now in front of us which is very limited - and with a result like that we have put a huge pressure on our shoulders."
Wenger accepts he will come up against plenty of questions from disgruntled shareholders later this week.
He said: "I understand every frustration. I am not a racist against frustration.
"Who doesn't share the frustration?
"However, the most difficult at the top level is to be consistent and one day you will see that.
"We have lost many players and to combine both is not easy - we have a good team, a strong financial situation and are consistent."
Wenger added: "Of course, I would love everybody to be happy, but I think overall the club is in a very strong position.
"People also feel the players have a good attitude, so it is down to us now to make the maximum of this during the season - but there is no reason really to be doom and gloom."
With first choice goalkeeper Wojciech Szczesny still struggling to shake off an ankle problem, Vito Mannone is set to again deputise tomorrow [Thursday] night.