The north Londoners have endured their worst start to a campaign under Wenger's guidance, having lost three of their five league games including an 8-2 mauling by United at Old Trafford.
By contrast, the defending champions have swept all before them, chalking up maximum points with some impressive displays.
Playing catch up: Andre Santos, Mikel Arteta and Aaron Ramsey train ahead of Arsenal's home clash with Bolton
Wenger, though, maintains it is far too early to be writing anyone off or crowning any side champions elect.
'Of course I am worried. It is absolutely not realistic not to be worried when you have a team like Manchester United in front of you,' the Frenchman said ahead of Saturday's Premier League game with Bolton at the Emirates Stadium.
'The only thing we can do is focus on our performances, win our games and hope they will drop some points at some stage.
'However, at the moment I am more concerned by us than them. If they do a perfect season, they do a perfect season. Until now, only one team did that - Arsenal.'
Gunners was referring to Arsenal's unbeaten 2003-04 league campaign, and accepts at the moment that just rediscovering the winning feeling is the most pressing priority for his current side.
Moving the goalposts: Gunners boss Arsene Wenger takes charge at training
Wenger added: 'What is important for us is to give absolutely everything to do it (win the title), but at the moment it is too early to speak about that.
'Let's come back to a better distance with the top teams before we speak about that. If the team gets momentum, we can be very strong.
'I still believe we paid a very heavy price for the Udinese (Champions League play-off) game, where we didn't get any credit at all. Today, they are (joint) top of the (Italian) league.
'We had to give absolutely everything (in the Champions League game) against Dortmund and in the second half at Blackburn you could see that.
'Our start of the season was disturbed by the transfers (of Cesc Fabregas and Samir Nasri) and by the fact that we had to qualify for the Champions League. We lost a lot of energy in these games.'
Dreadful start: Arsenal, who have shipped 12 goals in their last two away games, have suffered their worst opening to a Premier League season
Wenger lambasted his squad for the way they self-destructed at Ewood Park, scoring two own-goals in the second half after they had led 2-1.
The Gunners boss will recall his senior men on Saturday after a youthful side helped lift the gloom with a 3-1 Carling Cup win over Shrewsbury, as Alex Oxlade-Chamberlain marked his first start with a well-taken goal.
Wenger is expecting a response from the rest of the squad against a Bolton side who have lost four league games on the spin.
'We just want to focus on playing our game and finding our collective play as quickly as we can,' he said.
Plenty to ponder: Wenger believes his under-fire Arsenal side can improve quickly
'There were some good signs at Blackburn, especially in the first half, and we just want to extend that kind of performance for 90 minutes.
'I am very positive about our ability and on a longer term that will come out.'
Arsenal chief executive Ivan Gazidis felt it necessary to give Wenger a public show of support earlier this week.
Wenger, though, is not concerned by the critics.
'I have to take that with a bit of distance,' he said.
Home comforts: The Gunners were back to winning ways in midweek narrowly beating League Two Shrewsbury in the Carling Cup
'That is part of life today - football is a very popular sport and there is a lot of competition between the media. Everyone wants to make headlines in society, that is part of us and when you are in a big club you have to be strong enough to live with that and deal with it.
'I always feel it is a good test, but it does not mean everything which is said is right, however we have to live with that.'
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