But the Gunners boss admitted he was worried whether his players had about the mental energy to compete on three fronts.
Arsenal take on Southampton at the Emirates tonight, four days after beating Burnley to book an FA Cup fifth round tie at home to Hull.
They also tackle league leaders Leicester at home this month, travel to Manchester United and Bournemouth and take on Barcelona in the Champions League.
The dangers of his men losing their focus were shown on Boxing Day when Arsenal crashed 4-0 at Southampton.
"I felt on the day we did not have the mental energy," said Wenger of the shock defeat.
"It was a little bit the fact that after beating Manchester City (four days earlier) we felt that we had done it, and we got caught by a team that was full of desire.
"I felt on the day we did not have the resources. Sometimes it is important to give a breather just to recharge, more mentally than physically.
"If you play game after game sometimes you are just not fresh enough mentally. Physically you can cope with it.
"It is difficult to compete on three fronts. If you ask me is it possible to win on three fronts, it is a little bit different. Exceptionally, it can happen.
"But you need not to have any bad injuries and have a basis of a team who can repeat performances. Maybe to be above everyone else, like Bayern were, like Barcelona were last year."
Wenger insists his team are no longer taking anything for granted as they gear up to face the Saints.
He said: "The team has a good mentality, a good level of humility, and a good togetherness. Humility means that you question your performance, that you are ready to put a shift in."
Wenger also hinted Tomas Rosicky may have played his last game for Arsenal.
The Czech Republic midfielder suffered yet another injury setback - a thigh problem - shortly after making his first appearance of the season, coming on as a 71st minute sub against Burnley.
Rosicky will be out for at least a month and Wenger said: "Nobody understands. I told him straight away after half-time to warm-up.
"I observed him, he's very conscientious Tomas, he did sprint and sprint and sprint. He comes on, after three minutes he got the injury.
"He said, 'I stayed on because you couldn't change any more'. He warmed up well, for 20 minutes. He's devastated. Unbelievable."
Rosicky is out of contract at the end of the season and Wenger added: "He's such a good player but his career has been disrupted by so many injuries."
