The West London outfit showed their intent by ending Manchester City's 100% home record this season with a 1-0 victory at the Etihad Stadium on Monday.
The Blues are now on level points with their North-West opponents and sit just two points behind table-toppers Arsenal.
"The closer you get to the end, the more vital every game becomes, but we are enjoying it and we have fought very hard," Arsenal's Twitter page quotes Wenger as saying.
"[Chelsea] are in there. We focus on our results and do not listen too much to what people say."
The Gunners will take on fourth-placed Liverpool at Anfield on Saturday.