The Frenchman is adamant that his side must bounce back from their defeat to the Blues.
"It is vital for us," Wenger told Arsenal Player. "We are in a position where you are of course concerned by where we are. It's very difficult to accept because you feel there is a lot of quality in the team but football is [about] efficiency and spirit of efficiency.
"You cannot test the water and then decide what you do. We have to start with full cylinders from the first minute.
"The quality is there. I always hope that it will strengthen the belief of our team. At the moment we have a battle on that front and hopefully we'll sort that out very quickly."
Arsenal host the Hammers at the Emirates Stadium on Wednesday.