The Gunners have a mountain to climb in the second leg of their round-of-16 tie following a 3-1 deficit at the Emirates last month.
"I'm not worried about us coming back against Bayern, I'm more worried about consequences that could manifest themselves in our players," The Express quotes Wenger as saying.
"You can never know how they can absorb those blows and how the team responds to disappointment. This is the most worrying aspect for me. Of course, you are not feeling great if you can't win, but we can stay solid or crack under the pressure."
The North London outfit are currently five points away from fourth place in the Premier League table.