The Gunners are currently four points clear at the top of the Premier League, but claimed that the expectations do not increase the further they get into the season.
"The only thing that is changing is not our mind, it's [the media's] mind," Wenger told reporters. "Because until now you never ask me about the pressure, because you always thought it was an accident that we are there [at the top] and it won't last.
"Now that it's lasting a bit longer, you start to think, 'We have to consider them a bit more seriously.' You start to think, 'Is it a pressure for you?'
"No. We just continue to play well and that's the pressure we have - the desire to play well."
Arsenal play Hull City at home this evening.