The Gunners endured ignominious exits from both domestic cups, and look set to crash out of the Champions League after a comprehensive 3-1 home defeat to Bayern Munich.
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"You will never know how they can absorb those blows and how the team responds to disappointment. This is the most worrying aspect for me," he told reporters.
"I am not worried about us potentially coming back against Bayern [Munich], I am more worried about consequences that could manifest in the heads of our players.”
But despite the club’s stuttering form, Wenger is optimistic the Gunners can stage their trademark late-season surge, which secured them third place in the Premier League at the death last season.
"From the experience of how to handle the end of the season, we know how to deal with that. We have had lots of experience," he added.
"If you want to know, I am still solid, but I can't tell you that I feel great right now because my job is about winning games and when you lose you will not find a single coach in this world who feels good."