The Gunners have some time to recover from Sunday's 2-1 defeat at arch-rivals Tottenham, which hit their hopes of finishing in the top four of the Barclays Premier League once again.
With no FA Cup quarter-final tie this weekend after crashing out at home to npower Championship club Blackburn and their league game with Everton postponed, Wenger's squad have extra time to prepare themselves for next week's trip to Bayern Munich.
Their Champions League assignment looks all but over after the Bundesliga side opened up a commanding 3-1 lead in the first leg in London but Wenger believes how his team respond will shape the outcome of another campaign filled with thoughts of what might have been.
"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.
"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."