The Gunners have recorded back-to-back wins since being swept aside by Liverpool at Anfield, but Sunday's London derby will be the latest test for Wenger's men away to a direct Premier League rival.
Arsenal have won just two of their last 21 away games against a member of last season's top six - a run which stretches back to the beginning of the 2013-14 season.
"Of course, of course [I am expecting a response]. I'm expecting it and I'm anticipating it. I believe that on the day everything went against us and that we were not sharp physically [against Liverpool]. It was three days before the end of the transfer window, that some had their heads half in and half out, it was special circumstances a bit, you have to consider that," he told reporters.
"You do not win the cup the way we did it; we made 75 points last year, we were second with 72 the year before, so nobody gives you a present of 75 points and we won the cup last year. So this team has character. You do not win the FA Cup like that and nobody gives you a red carpet to win it."
Arenal are looking for their first win at Stamford Bridge since 2011.