The 63-year-old said his love for the game and desire to win is what keeps him going, while stressing the importance of bouncing back from cup defeats against Aston Villa.
The Frenchman has come under increasing pressure after the Gunners' 3-1 defeat at home to Bayern Munich in the Champions League left them staring another trophy-less season in the face. However, the 63-year-old indicated that he is still enjoying life in north London and revealed he has not once thought about calling it a day at the Emirates.
"Never, not for one second," he said when asked if he has considered throwing in the towel. "My love for the game and love of winning is what keeps me going."
The Premier League outfit needs at least three goals in the return leg in Germany to progress to the next stage of the Champions League, but the boss says any knee-jerk reactions to the loss would be damaging and instead suggested his players just lack belief.
"There is no possibility in any club of changing direction every time you lose a game," he continued. "I feel we lack a bit of belief and confidence. We don't have a problem of quality, it is of belief and confidence.
"We live in a world of emotion, of excess. We must put things into perspective and stay solid. We must stay united and not be destabilized by people with strong opinions. We are here to win games and when you don't it is a huge disappointment. We have to get over that and focus on the next."
Wenger admits that the Villa game is "vital" for restoring some confidence, especially with a top-four finish still far from secured.
"We have to prepare ourselves for a battle," he added. "It is always a battle against Aston Villa. The crowd will play a big part, especially after Tuesday night. We must get them behind us. This is a very important game for us. It is vital because we play at home and want to come back in a strong position."