The Russian has been linked with a move away from the Emirates Stadium after a string of underwhelming performances this season.
"He has always been a player who plays on the borderline," Wenger told the club's official website.
"If you look at the game against QPR, he is a big gambler, and at the end of the day he gave the ball to Robin van Persie to score in that game. So he is always efficient.
"If you look at his numbers you are always surprised at how good he is. Sometimes the visual impression you get from a game has been frustrating, but he is very efficient. We can all have a big responsibility but we need confidence for what we do."
The Gunners travel to Wales to face Swansea City in the Premier League on Sunday.