Arsenal's quest for Premier League glory is entering its 11th season after finishing fourth in 2013-14 - five points adrift of champions Manchester City.
The London club conceded a total of 41 goals throughout the league campaign - the fourth-best defensive record behind Chelsea (27), City (37) and Everton (39).
"I was concerned [by Arsenal's record against the top four]," said Wenger. "I was concerned and shocked by the number of goals that we conceded.
"Of course we were Dr Jekyll and Mr Hyde defensively. We had 18 clean sheets but when we did not keep a clean sheet we let them score.
"I think it was down to confidence. Overall we were quite sound defensively but we have a good opportunity to improve that."
Arsenal's run of routs against top-tour teams kicked off against City, when they were trounced 6-3 at Etihad Stadium in December.
However, the Frenchman said the scoreline in Manchester was misleading heading into Sunday's FA Community Shield showdown at Wembley.
"Honestly [the Man City game was] not so much damaging because we finished with 10 men and when we looked at the game again we had six or seven chances to score," he said.
"I took a gamble at 10 against 11 like I always do to have a chance to come back, but when you look at the chances we missed, that was not a damaging [result].
"For us what was damaging was the two games at Liverpool and at Chelsea."
