Arsenal has lost its past four games in all competitions, including successive 3-0 defeats at the hands of Premier League champion elect Manchester City and a shock loss to Ostersunds in the UEFA Europa League.
The Gunners progressed to the Round of 16 despite that defeat at Emirates Stadium, earning a trip to face Italian giant AC Milan at San Siro on Friday (AEDT).
Under-fire Wenger told his squad to remember its qualities to turn around a dire string of results that has renewed speculation over his future at the club.
"I think, first of all, the players are a bit affected because they want to win," Wenger said.
"In life you forget quickly how good you are. Players change their mind quickly.
"Focus on what you can do better and realise what you didn't do well and don't be too worried about the consequences of a bad result."
While 2018 has been disastrous for Arsenal, Gennaro Gattuso has turned around Milan's form this year, the Rossoneri climbing to seventh in Serie A under the former Italy midfielder.
Gattuso indicated he was looking forward to the challenge of facing Wenger, describing himself as a "rookie" compared to the veteran French manager, but the Gunners boss conceded that with Arsenal struggling badly he could learn from his counterpart.
"He's doing very well at the moment," Wenger added. "I'm not doing well, so I'm the guy who can get advice from him."
Last season Arsenal won the FA Cup to end a poor campaign on a high and, with UEFA Champions League qualification unlikely through the Premier League, Wenger accepts the pressure is on to win the UEFA Europa League.
"It makes me think about last year, but last year we made 75 points in the Premier League and missed out on the Champions League by a point," Wenger said.
"This is an opportunity we have to take. It increases the pressure for sure. I think it is a good opportunity.
"You want to show you have the quality and the strength and you can only show that when it is difficult."