The Frenchman takes his team to Stamford Bridge, where they have not won since 2011 - part of a dismal recent away record against all the clubs who finished last season in the top six.
The Gunners have won only two such games out of 21 since the start of the 2013-14 campaign, with their last victory coming at Manchester City in January 2015 - since when their record shows five draws and eight defeats, including their current five-game losing run.
A 4-0 defeat at Liverpool before the international break continued the trend but Wenger does not believe his players will be suffering from recent history heading into Sunday's clash.
Asked whether he feels his side lack confidence away to top-four teams he replied: "No. Look, if you look at my record you will see that I played two years in England, in the Premier League, without losing games away from home.
"Last year, until we lost at Everton, we had not lost away for the whole year. So after that, we lost at Man City after Everton, that's true. It gave us a little bit of a problem of confidence away from home, but I don't really believe in that.
"Never in my life could I accept or understand that it is different away from home. It's just a question of how much you want it. No matter where you play, it's about football and so it's as well a good opportunity to show that we have that quality."