"I feel the most important thing is to keep on playing no matter what the score is. We need to keep our nerves more and communicate better," the Frenchman told reporters before his team's trip to Bolton Wanderers on Sunday.
"All defenders are under pressure because they are criticised for not holding on so that makes the problem worse."
In Arsenal's last two Premier League matches they have let leads slip, proving costly in their pursuit of leaders Manchester United who sit six points ahead of them and Chelsea with five games remaining.
Arsenal's chance of a first trophy since 2005 evaporated in an instant in February's League Cup Final when an 89th-minute defensive mix-up between defender Laurent Koscielny and goalkeeper Wojciech Szczesny gifted Birmingham City a 2-1 win.
"It's a vicious circle," Wenger said of media criticism of his team's defence. "You can only deal with that in this time and dominate your nerves."
Wenger said he was still very confident that Arsenal can win the title.
"We have played 16 games without losing and I am convinced that if we win our five games we will win the championship," the Frenchman said.
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