The Gunners currently sit at the top of the Premier League table as they look to win their first piece of silverware since 2005.
They return to action on Saturday with a trip to Anfield to face Liverpool.
"At the moment this is the period, January, February, March, where every game is a battle for everybody because everybody fights for something," Wenger told the club's official website. "You just want to win the games."
Arsenal head into their match against Liverpool on an unbeaten run of eight games.