The former Liverpool manager has been the subject of negative chants and jibes from a number of Blues fans since he replaced Roberto Di Matteo at Stamford Bridge in November.
"You never know how much it affects the players," The Mirror quotes Wenger as saying. "The crowd can be a bit difficult or become enthusiastic if the game turns well. Of course it tests the mental strength of the players. But for young players especially, it is not easy.
"I feel sympathy for every manager until the day I play against him. Then the sympathy goes and comes back after the game."
The Gunners go up against Chelsea at Stamford Bridge this weekend.