The England international has praised the Frenchman and believes that the 61-year-old can handle the criticism he has been forced to endure over the past few weeks.
"The boss is a great man, he can deal with anything thrown at him," Walcott told Absolute Radio. "He's been at the club for over 15 years and so he's not under any pressure at all.
"Us players, we need to look at ourselves and start doing it on the pitch, to be honest.
"A lot of people say about the defensive sort of issue but it's not just the back four, you need to look at defending as a whole team."
The striker could feature in Wenger's starting lineup when they take on Bolton Wanderers at the Emirates this weekend.