The Gunners fell to a 2-1 defeat at Newcastle United on Sunday to remain the only team in England's top four divisions yet to earn an away league point in 2018.
In addition, Arsenal have lost five successive away games in the league for the first time since December 1984, and Wenger admits that the pointless run will impact on the players.
"Of course it's a concern because traditionally we have a very strong record away from home," Wenger told the Arsenal website.
"It has a subconscious weight in our minds. Once you're in a negative spiral like that, it's very difficult to get out.
"(We need to get out of it) by just focusing on the game and on our performances. I feel today the team gave everything and we have to keep playing like that [and] we'll win games."
Arsenal remain sixth in the table on 54 points, 33 points behind leaders Manchester City and the same number away from bottom club West Bromwich Albion.