The Frenchman is facing one of the biggest tests of his 16-year tenure this season following the Gunners' Capital One Cup defeat at Bradford this week on the back of indifferent form in the Barclays Premier League.
"I always feel under pressure to deliver, always.
"You can only be successful if you question yourself, because the game has become bigger and better. With teams like Chelsea and Man City coming in, I think we have to do what we do even better," Wenger said.
"You can only be good in life if you do what you believe is right.
"We have always managed the club with its own resources, given a chance to young players and developed a style of play that we think is right. After it works, it gives us a consistency at the top level that develops a sense of trust.
"We may have a lack of experience in winning trophies recently, but we are always at the top and very close to winning the championship or winning the Champions League."