The Italians arrive at the Emirates Stadium in good form following their summer of new arrivals, and are yet to taste defeat so far in Serie A.
Insigne scored against the Gunners in preseason during their 2-2 draw in the Emirates Cup, and Wenger is wary about the winger repeating his success.
"Insigne is mobile, he is not tall but quick and very good in the transition from defence to attack," Wenger told the club's official website. "He is a good dribbler as well and is an intelligent mover. That makes him an interesting prospect.
"That's what struck me as well in the Emirates Cup – when they win the ball they come out very quickly with Callejon, Hamsik, Insigne and Higuain, who come out like bombs all the time they win the ball.
"The transition from our side from offence to defence will have to be very quick."
Arsenal host Napoli in the Champions League on Tuesday night.