The Gunners, who last won the league in 2004, slipped to fourth after a 3-1 defeat at Chelsea last Saturday.
Wenger's side host Hull City on Saturday (12:30 GMT) having lost four of their past nine league games.
"It is never over," said the Frenchman. "Even if you [the media] think it is, I don't - we can't think like that."
Just five points now separate second-placed Tottenham from Manchester United in sixth.
Wenger added: "We're in a pack that is very tight and the fight for every position will be massive, maybe more this season than before.
"If it is over for us, it is over for everyone else as we are all in the pack.
"Chelsea have an advantage, they do not play in Europe, they play for nothing, they do not play midweek games and are in a strong position."
Arsenal's defeat by Chelsea came four days after they had lost 2-1 at home to Watford.
Some fans have called for Wenger to leave, with one holding up a poster at Stamford Bridge telling the Frenchman: "Enough is enough. Time to go."
Club legend Ian Wright said last week the 67-year-old, who has been in charge since 1996, has some "serious thinking to do" about his future.
"What is important is we focus on the next game and do not give too much importance to one fan," said Wenger. "It's not me at stake, it's Arsenal Football Club.
"Our fans have been consistent and have a high level of expectation, as I do, but I don't feel you can be a fan until last Tuesday and then not be behind the team any more - it doesn't make sense.
"Even if we have had two disappointing results, I want the fans to be behind the team. Focus on what we do well. They were great players last Tuesday and they are still great players."
Arsenal must believe they can still win the Premier League title this season despite a 12-point gap to leaders Chelsea, says manager Arsene Wenger.