"I think in this country only one manager is not under pressure," Mourinho told a news conference ahead of Saturday's Premier League game at Newcastle United.
"Steve (McClaren) is under pressure, I am under pressure, Brendan (Rodgers) is under pressure, (Manuel) Pellegrini is under pressure," he added of the men in charge at Newcastle, Liverpool and Manchester City respectively.
"We cannot lose matches, we cannot be below expectations.
There is one that for some reason is outside that list. Good for him.
"He can speak about the referees before the game, can speak about the referees after the game, can push people in the technical area (as he did at Chelsea last season), can cry in the morning, can cry in the afternoon, nothing happens," said Mourinho.
"Can be not achieved, keep the job, still the king. It's a privilege."
Declining to name Wenger, who has been Arsenal manager for 19 years and has not won the league since 2004, he replied "you know" after being asked who he was referring to.
Mourinho avoided further reference to the controversial 2-0 win last weekend over Arsenal who had centre half Gabriel's ban rescinded after he was sent off.
"If I answer I'm going to be suspended," said the Portuguese. "I don't want to touch that because I want to sit on the bench."
Mourinho has not won any of his five league visits to Newcastle although he has enjoyed two League Cup victories there.
A win this time would be his 200th in two spells in charge, making him only the second Chelsea manager to reach that landmark.
Champions Chelsea are 15th in the table while Newcastle are second from bottom.
(Editing by Tony Jimenez)
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