Arsenal, who beat West Bromwich Albion 1-0 on Saturday, have lacked consistency this season and are sixth in the Premier League table, 13 points behind leaders Chelsea.
Wenger has come under increasing pressure from frustrated fans and supporters unveiled a banner that read "thanks for the memories but it's time to say goodbye" during the victory at West Brom.
But speaking ahead of Arsenal's match against Southampton at the Emirates on Wednesday, Wenger, who has been in charge of the Gunners for 18 years, said he was unaffected by the criticism.
"We are internally very united," Wenger told a news conference. "Our job is to be competitive and to fight and we are creating something special inside the club.
"But that has to come out through performances and games won. That's the best way to unite everybody."
Arsenal's progress has not been helped by a number of injuries and defenders Nacho Monreal and Kieran Gibbs face a battle to face the Saints.
First-choice goalkeepers Wojciech Szczesny and David Ospina are still injured Along with midfielders Mesut Ozil, Jack Wilshere and Mikel Arteta.
Third-placed Southampton travel to the Emirates on the back of a 3-0 home defeat by Manchester City on Sunday, but Wenger believes they are in the running for a top-four finish.
"Southampton are stable at the back and their new signings have integrated well," he said. "If they can maintain their run, they can challenge for Champions League places.
"But it's a big game and an opportunity to show consistency in our results."
Arsenal great Thierry Henry, who scored 228 goals in 377 appearances for the Gunners, left New York Red Bulls on Monday and Wenger expects the striker to return to north London in the future.
"He is an Arsenal man and enjoyed the best moments of his career here," Wenger said. "I understand that he wants to reflect on what he wants to do.
"Certainly one day he will come back here. In what role I don't know. That is what he has to think about: what direction he wants to give to his next life."
(Reporting by Michael Hann, editing by Ed Osmond)
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