The Gunners led the way for much of the season last term, but eventually fell away and had to fight off a strong charge from Everton to eventually qualify for the Champions League, via the final spot.
Wenger's side suffered losses to Manchester City (6-3), Chelsea (6-0) and Liverpool (5-1) last season in damaging defeats that ultimately cost his team the Premier League title.
The Londoners were also beaten in away games against Everton (3-0), Manchester United (1-0) and Stoke City (1-0), and the Frenchman accepted that his side need to tighten up at the back next term, particularly against their rivals.
He told the club's official website: "I was concerned [by Arsenal's record against the top four]. 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."
Wenger claimed that the 6-3 reverse to eventual champions City back in December could not be held in the same regard as the humbling hammerings at Anfield and Stamford Bridge.
"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," added the Arsenal boss.
"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.
"With City we came home and felt that we played Wednesday night in Naples and then Saturday morning at Man City and we had plenty of chances. We were not outplayed, we lost the game in the last 20 minutes really."
Wenger, who also recently expressed disappointment at Bacary Sagna's departure to City, has tried to address his side's shortcomings at the back with the signings of Mathieu Debuchy and Calum Chambers, while David Ospina has arrived to place added pressure on goalkeeper Wojciech Szczesny.
However, the signing that has really captured the Gunners fans' attention this season is the £32 million arrival of Alexis Sanchez from Barcelona.
Arsenal struggled for forwards last year, with Olivier Giroud asked to continually plough a lone furrow up top, but the addition of Sanchez will give the club genuine quality in the final third - something that was not always on show last year with Nicklas Bendtner acting as the Frenchman's understudy.
The Gunners begin their new campaign with a visit from Crystal Palace on August 16.