The Frenchman is facing one of the biggest tests of his 16-year tenure this season following the Gunners' Capital One Cup defeat at Bradford this week on the back of indifferent form in the Barclays Premier League.
He told fourfourtwo.com: "I always feel under pressure to deliver, always. You can only be successful if you question yourself, because the game has become bigger and better. With teams like Chelsea and Man City coming in, I think we have to do what we do even better."
Arsenal chief executive Ivan Gazidis has apologised to supporters for the recent setbacks and fans' groups say he pledged to make "significant funds" available to Wenger to strengthen the squad in January.
Wenger has long championed the club's drive to emulate their successes of the past by living within their own means after moving from Highbury and speaking prior to the midweek defeat to Bradford, he added: "You can only be good in life if you do what you believe is right.
"We have always managed the club with its own resources, given a chance to young players and developed a style of play that we think is right. After it works, it gives us a consistency at the top level that develops a sense of trust.
"We may have a lack of experience in winning trophies recently, but we are always at the top and very close to winning the championship or winning the Champions League."
Former Arsenal midfielder Stewart Robson - at the club from 1981 to 1986 - branded Wenger "a dictator in many ways". The French coach feels his considerable influence at Arsenal is positive.
"I feel responsible for the evolution of the club. When you've been here for 16 years, you're part of the history and the guy who is responsible for the values that the club wants to show in all aspects of daily life," Wenger added.
"If a manager stays at a club for 15 years, he is a 'memory' of the club. It gives you a kind of authority, because people respect the way you behave and the way you do things."
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