Wenger's side claimed a welcome three points in their last European outing, beating Galatasaray 4-1 at the Emirates Stadium, but recent domestic form has proved a cause for concern.
A loss to London rivals Chelsea prior to the international break was followed by a 2-2 draw with Hull City on Saturday, in which Danny Welbeck was required to salvage a point late on.
Wenger was unhappy with Hull's second goal, lamenting sloppy defending, and clearly frustrated when questioned by the media over his side's shortcomings.
The Frenchman has called for an improved showing at the back against an Anderlecht side beaten just once in 15 matches this term - by Group D rivals Borussia Dortmund on matchday two.
"Last year we had 17 clean sheets with the same defenders. We have not started to do that at the moment," said Wenger.
"This season has been much harder. It's difficult to say why because there's not just one reason.
"It's a post-World Cup year. It's [also] because we had to play Besiktas to qualify for the Champions League without having everybody ready. We have missed many players.
"But our defensive efficiency is not there at the moment. You cannot survive at the top level by always conceding two goals. It's impossible."
Featuring in the group stage of the competition for a third consecutive year, Anderlecht will be eager to avoid a sixth consecutive home loss in the Champions League and move off the bottom of Group D.
Besnik Hasi's men lead the Belgian top flight by three points, but needed Steven Defour's second-half equaliser to avoid defeat against Mechelen on Saturday, with Hasi describing the opening 45 minutes of that match as the worst of his tenure.
Anderlecht are seeking to end an unwanted sequence of fourth-place finishes in the group stage, which stretches back through their last seven campaigns since they reached the last 16 in 2000-01.
Hasi was able to hand experienced defender Anthony Vanden Borre a return at the weekend after a calf injury, but Fabrice N'Sakala remains out of contention due to a knee problem.
Emiliano Martinez appears set to make his Champions League debut in goal for Arsenal, with regular number one Wojciech Szczesny suspended and David Ospina (hip) also unavailable.
Wenger is also set to be without Mesut Ozil (knee), while Laurent Koscielny (Achilles) is a major doubt.
However, Aaron Ramsey returned from a hamstring injury against Hull and Jack Wilshere is expected to be available, despite limping off in the second half of Saturday's draw.
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