The Gunners head to the DW Stadium on the back of Monday's 5-2 win at Reading, which was a second successive league victory and made it only one defeat in the last six league outings.
Indeed, a maximum points haul against the injury-hit Latics would temporarily at least see Arsenal leapfrog Tottenham and Chelsea up into third place.
Wenger said: "We had a good result against West Brom, a good result at Reading, so it is important to show continuity now."
Despite Wigan having slipped down into the bottom three after last week's 2-1 defeat at Norwich made it five losses from seven, Wenger remains impressed by the work of Roberto Martinez and his cosmopolitan squad - with Honduras midfielder Roger Espinoza set to join in January after the end of his contract with Major League Soccer side Sporting Kansas City.
"Wigan always have good players, technically talented players and they're scouting countries where nobody else goes," the Arsenal manager said.
"They have for me an intelligent idea - they say , `If we go to France or Germany, we face Arsenal and Manchester City, so let's go to countries where nobody goes'.
"There must be a good player in every country and usually they find him. They have done that very well."