That was epitomised last night as a number of recent impressive results were followed up by a poor display at Southampton, where they were lucky to secure a point.
Wenger was angered by his players' lack of mental sharpness and admits he is looking to strengthen this month.
"I will be active, yes," the Frenchman said. "Will I be concrete? I hope so. We are looking everywhere, we are open-minded.
"We want to strengthen the squad if possible if we find the right players."
Wenger, though, will not be bringing Henry back to north London.
The 35-year-old returned to the Emirates Stadium on a short-term loan this time last year and had been lined up for a similar move this January.
However, after much talk, Wenger revealed he will not be returning to Arsenal.
"I think he goes away somewhere," he said.
"He is not ready, he has just come back from holiday anyway. At the moment we are not on that case."
Asked for clarification, he said: "No (it is not happening)."
Henry would have proved handy yesterday at St Mary's, where the Gunners mustered few chances of note.
They fell behind to a Gaston Ramirez effort after 34 minutes but left with a 1-1 draw after Guly do Prado put into his own goal.
The point moves Saints out of the relegation zone on goal difference and manager Nigel Adkins was pleased with his side's display.
"It just shows things are close at the bottom," he said.
"One victory or result and it's going to keep fluctuating.
"The performance on the back of the Stoke performance demonstrates everyone's working hard and fighting for each other.
"It's only two defeats in 10 games, which is important, but look at how far we've come.
"We got a good hiding down at the Emirates at the start of the campaign - six against us.
"We've got a growing maturity about the players and the performance underlines how far we have come in growing into the Premier League.
"When you look at it, Arsenal have been beating teams out of sight of late but the goal was a deflection and Artur Boruc's not had anything to do in goal from that point of view.
"We had a good shape about ourselves and we were tactically bang on in restricting Arsenal to limited opportunities and when we had the ball we created good opportunities ourselves."