"Before the start of the season, everyone was speaking about our team, and it being young. We wanted to show them we can play better and better, even if we are younger," he said.
"We have shown how mentally strong we are and that we can win even if we are losing."
Sagna told Arsenal TV Online: "Everyone can support the pressure - and I think the pressure is actually on the other teams, but not us."
Born in France to parents of Senegalese descent, the full-back has quickly established himself in the Gunners side, forming an impressive partnership with Eboue down the right before the winger left for the African Nations Cup.
Sagna has chalked up close to 30 first-team appearances already, with Wenger admitting the defender's rapid progress had come as a "complete surprise".
The 24-year-old has credited his fast adaptation to a "fighting spirit" and being able to throw himself into his role head on.
"It is a great chance for me and I am very happy," Sagna said. "I arrived and tried to play my own game quickly.
"Playing for Arsenal is fantastic.
"I try to do better game after game and I would like to thank everyone who has helped me adapt.
Sagna added: "It is different for a forward because defenders are so hard on them, for me it was easier.
"I have always had a fighting spirit and wanted to play for a great team. Now I am playing for Arsenal and want to show what I can do."