The Blues, though third in the table, have failed to win at Stamford Bridge since the turn of the year, suffering defeats to Queens Park Rangers and Swansea, before being held by struggling Southampton.
Interim boss Rafa Benitez was jeered by sections of the home support as his side blew a 2-0 lead against the Saints but Wenger insists any compassion will come after the final whistle.
"I feel sympathy for every manager until the day I play against him," Wenger said.
"Then the sympathy goes and comes back after the game - not always straight after the game, sometimes it is some time later. We are all in the same position.
"We know we are in a fragile job and that the confidence is very important, but it is a job where you have to take care of your own team."
With both sides hoping to stay in the race for UEFA Champions League football, Wenger expects an open encounter at Stamford Bridge.
"Both teams have attacking styles," the Frenchman added. "Chelsea is today a team who has many good attacking players so it should be a game with goal chances.
"We will not change our style too much, so we will try to attack and try to create chances."