"We care about that and we worry about it as well because it's a fight," Wenger told the British media of the club's top-four ambitions with three games remaining.
"We play to win the title and the fact that we do not win it is of course frustrating."
Wenger also felt that with the European spots out of reach for several mid-table clubs who have already secured their top-flight status for next season, some teams could have an easier run in than others.
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"There are two leagues at the moment. The teams who are taking it a little bit easier... you see some games and you think you would like to play them now, the teams who are safe and are not going for Europe," the Frenchman added.
"And then you have the teams who are going for something at the front and the teams who are fighting not to go down, and they are different games."
Arsenal next host third-from-bottom Norwich City at the Emirates Stadium in the league on Saturday.
(Reporting by Shravanth Vijayakumar in Bengaluru; Editing by John O'Brien)
