Their Champions League effort looks all but over after Bayern Munich opened up a commanding 3-1 lead in the first leg of their last-16 clash in London but Wenger believes how his team respond will shape the outcome of a season which sees them struggling to make the top four in the Barclays Premier League.
"Of course, you are not feeling great if you can't win, but we can stay solid or crack under the pressure," Wenger said in an interview with Eurosport. "If you want to know, I am still solid, but I can't tell you that I feel great right now because my job is about winning games and when you lose you will not find a single coach in this world who feels good."
He went on: "I am not worried about us potentially coming back against Bayern, I am more worried about consequences that could manifest in the heads of our players.
"You will never know how they can absorb those blows and how the team responds to disappointment. This is the most worrying aspect for me.
"But from the experience of how to handle the end of the season, we know how to deal with that. We have had lots of experience."
While there is nothing Wenger can do now but rely on his continued belief the current group of players will be able to overall either Spurs or Chelsea to finish in the top four, Arsenal are expected to strengthen the squad in the summer.
Several fringe players, like Andrey Arshavin and Sebastien Squillaci are set to be offloaded to trim the wage bill, with reinforcements brought in on the back of the club's new sponsorship deal with Emirates Airline, which has been frontloaded to hit the summer transfer market.
Defence is one area where Wenger will look to bring in new additions, with Swansea's Ashley Williams a reported £8million target. In midfield, Jordy Clasie of Feyenoord is said to be another on the Arsenal radar.
There could also still be developments off the pitch should American owner Stan Kroenke elect to sell his majority shareholdings to a so-far unnamed Middle East consortium reportedly to be ready to pay some £1.5billion for the Gunners, who have long championed a self-sustaining model based around the income generated from their 60,000-seater Emirates Stadium home.