The Frenchman has come under fire this season for his side's failure to win the top-flight crown despite topping the table in December.
Wenger has admitted that the pressure has only increased towards the end of the campaign, as his side look to secure their place in the Champions League next season.
He told reporters: "I believe it is linked as well with the period of the season. It's easier to be calm in September than in March, because every game is kill or be killed.
"This period of the season, you feel much more under pressure as a manager. In September you think, 'Okay, we lost this game but we still have time to catch up.'
"Now, one, two, three games to go, you look at the table at the bottom, at the top everybody feels a bit like you're playing Russian roulette."
Arsenal face Newcastle United in their Premier League clash later today.