The Gunners dropped their second league game in a row, going down 3-0 to Chelsea on the weekend to fall 11 points behind the league leaders and face Manchester City in the Carling Cup on Wednesday night.
But the Frenchman says although he will be going to Eastlands to win, he is focusing more on bouncing back in the Premier League.
"The Carling Cup is not one of our priorities," Wenger said.
"We will go to City to win the game. Some of the younger players who play there will play in the Champions League as well because we are qualified. But it's important to win in the Premiership.
"We've lost two games on the trot and that's a massive disappointment. Two games where we didn't score.
"We have to deal with the disappointment and respond by trying to win our next game."