The Gunners face north London rivals Tottenham upon their return from national team duty and the Frenchman is worried his players may not be at full fitness
The Gunners are currently eighth in the Premier League, four points short of fourth-placed Everton and the Champions League qualification places.
And, with a vital north London derby clash with Tottenham approaching, the Frenchman believes his players may not be at their best upon returning from international duty.
"It is bad for us. I would prefer that the team stays here and prepares our next game," Wenger told reporters.
"There is a risk with the players who have played our [last] three games - they play another one [in midweek], and another one [against Spurs], and after that they play against Montpellier [in the Champions League].
"At the moment we cannot rotate too much, so it is not ideal, but we have to deal with that.
"We have no time to train on it, because the players go away and anyway, when you play every three days you cannot practice too much.
"However, it is like that for all the teams. I have played Champions League for 15 years now and we have to do that every year for periods.
"As long as you play in the League Cup as well, you never have a complete week to prepare the next game - but it is part of being at Arsenal."
The 63-year-old also admitted his side's confidence is not particularly high at the moment but believes a local derby could be perfect to lift spirits.
He added: "The belief is not at its maximum at the moment, but we have to digest that and come back again.
"However, Spurs is always a huge game in itself, no matter what is happening."