The Gunners have kept three consecutive clean sheets in a row, including a 2-0 win against Liverpool at Anfield this weekend.
"As long as that record lasts, the more everybody does defensively because they want to keep the record going," said Wenger.
"Football is always a good lesson in humility because we had the number one and number two goalkeepers out and went to Stoke City and Liverpool and haven't conceded a goal.
"You never know in the game but when you have a good work rate and spirit in the team, you have a chance."
Arsenal play their next match of the 2012-13 campaign against Southampton on Saturday, September 15 after the international break.