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.
"I can understand that, and I share that concern. I believe we can compete," said Wenger.
"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 at 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.
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."