In recent weeks, Wenger has been linked with an exit at the end of the season with the club having underperformed in the Premier League and suffered an early exit from the FA Cup.
Arsenal have since returned to form and progressed through to the Europa League quarter-finals, but Cech has acknowledged that some players may have been affected by reports about the Frenchman.
The 35-year-old told BBC Sport: "I think it's individual. As a player some people probably look around more than others.
"I have to say I concentrate on what I can do which is only my game, my preparation, my training every day and helping everybody else to be ready for the game when it comes.
"Obviously all this speculation about the coach in, coach out and what's going to happen next. Once you as a player start thinking too much about it obviously it can affect your performance and that is not going to help you. So I try to avoid all these things but as I say everybody is different and some people might think too much about it."
Arsenal have lost eight of the 17 matches they have played in 2018.