The Gunners were beaten 2-1 by Chelsea earlier today, having also been defeated last weekend by Manchester City.
The Arsenal boss told Sky Sports News: "We have lost two big games in the last week. That's damaging for us. We can't afford to lose more points. It's a concern.
"We only came into the game when we were 2-0 down, that's worrying."
Wenger was also critical of referee Martin Atkinson's performance, adding: "The referee gave a lot of free kicks today, and some much less than the Coquelin one. It's frustrating. It doesn't mean we should have conceded the goal but, in the big games, these decisions have big implications."
Arsenal are currently sixth in the Premier League table.