"Of course I am worried. It is absolutely not realistic not to be worried when you have a team like Manchester United in front of you," the Frenchman said.
"The only thing we can do is focus on our performances, win our games and hope they will drop some points at some stage.
"However, at the moment I am more concerned by us than them. If they do a perfect season, they do a perfect season. Until now, only one team did that - Arsenal."
Wenger added: "What is important for us is to give absolutely everything to do it (win the title), but at the moment it is too early to speak about that.
"Let's come back to a better distance with the top teams before we speak about that. If the team gets momentum, we can be very strong.
"I still believe we paid a very heavy price for the Udinese (Champions League play-off) game, where we didn't get any credit at all. Today, they are (joint) top of the (Italian) league.
"We had to give absolutely everything (in the Champions League game) against Dortmund and in the second half at Blackburn you could see that.