The north London side slipped to a 2-1 defeat to Chelsea at Stamford Bridge on Sunday, a result which leaves them seven points behind fourth-placed Tottenham - albeit with a game in hand.
And the Frenchman believes Arsenal must improve in the coming weeks if they are to qualify for the Champions League again this season.
Wenger told reporters: “We have lost two big games in the last week, and that’s very damaging for us. We can’t drop points any more if we want to be in the top four. That’s a concern.
|TOP FOUR GUNNERS?
|11/8||Arsenal are 11/8 to finish in the top four with bet365|
“We have fantastic quality and spirit, but come into the game when we are 2-0 down. That is very difficult in the big games and at the moment that is worrying for us.”
The 63-year-old also bemoaned his side's poor start against the Blues, a factor which he believes was the main reason for defeat.
“We were stretched, we gave Chelsea far too much room to play and we didn’t defend tightly enough," Wenger continued.
“We didn’t make enough of our chances, which is why we lost. It’s very damaging for our league position and difficult to swallow.”