The Gunners were edged 2-1 by Chelsea at Stamford Bridge yesterday despite a spirited second-half fightback.
Wenger admitted that his team are missing the mental edge required to perform but backed his side to bounce back quickly.
He told the club's official website: "There's a great spirit in the team. There's great quality in the team. The team has to believe more in the quality we have.
"You could see with 10 men against Man City and today again that we can be dominant in the games. We have to [do that] from the start.
"I felt that in the last two games that we didn't really go for it from the start. There's a psychological ingredient in there for sure."
A run of three successive home league games for Arsenal begins on Wednesday night against West Ham United.