The German playmaker, signed in the summer for £42million, has attracted criticism for providing just two assists in his past 10 Premier League outings but Wenger feels he just has to relax a little more when attempting a killer final pass.
"You want the guy who plays behind the striker to score some goals and sometimes he is too obsessed with making the perfect pass when he could take a shot at goal," said Wenger.
"For me, he is an exceptional player. He feels the pressure of course, because he knows a lot is expected when you are a big transfer like that.
"There is a big expectation level, but he should not worry about that, just play in the team and enjoy it, give his best. That's the best way to deal with it.
"You must say he doesn't come from a small club. He comes from Real Madrid, where the pressure is always huge as well. So he's used to it.
"He needs understanding. Because he always wants to do well. He cares.
"He's not a guy who doesn't care. His style can sometimes look like that, but he's really the opposite character. He cares about the game, he wants to do well, he needs more support."
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