The Gunners face a vital home tie against Chelsea on Monday evening which could either catapult them back to the top of the Premier League, or shift them down into fourth spot.
Two games ago they held a 5 point gap that has been dramatically reduced after their draw with Everton and loss to Manchester City.
The north London side head into the heavy festive season under plenty of pressure, but Wenger has challenged his side to prove the doubters wrong and overcome the pressure.
“At the moment everybody still questions us.” Wenger told Arsenal’s official website. “We haven’t won it [the Premier League] for a long time, that’s why they question us.
“It [the possibility of going fourth] adds pressure but you cannot play in the Premier League without pressure. There are periods where the pressure is a bit bigger and periods where it is smaller.
“You have to live with that and resist that kind of stress.”
Wenger understands the frustration with not winning a single trophy since the 2005 FA Cup victory, but feels the priority has been and will always be the Premier League.
“It’s not without winning a trophy, it’s without winning the Premier League,” he said. “If you win the League Cup it doesn’t change anything.
“It’s the Premier League that is the most important thing and we haven’t won it for nine years. Of course it doesn’t strengthen your belief.
“If you win it every year, you go in there and it’s just ours. It makes the challenge more interesting.”
After a difficult period, Arsenal will be looking at getting back to winning ways against Chelsea and also on a personal level, Wenger will want to beat Mourhino and end the Hoodoo.
The Gunners stand a very good chance after receiving a substantial rest after what was a difficult fixture list, not only the teams but the timing between the tricky matches.
They need to sneak a quick lead if possible and soak up the pressure as they have done so well before. Then look to counter. The Blues defence have been far from bulletproof, we have the tools to expose them.