The Gunners have won eight of their first 11 matches to climb to the top of the Premier League table, despite suffering a 1-0 defeat to Manchester United in the final game before the international break.
"Defeat hurts because we could have opened up a gap. Other results went our way and it was an opportunity lost," Cazorla told the Guardian.
"But I wouldn't talk about fatalism. It's one game and we've shown we're more consistent this season. Last year we had a lot of good games but we would go to grounds where we should win and didn't.
The reason for this "change", according to Cazorla, is a clearer focus both mentally and tactically, driven by Wenger's renewed hunger to end the club's eight-year trophy drought.
"United was bad, sure, but we're clearer, much more focused in every play," said Cazorla.
"The manager is more concienciado - more concentrated, more conscious.
"He's more demanding. It's been a long time without winning anything and he's determined. I learn from him every day and he has the same philosophy to keep the ball, play, but in defence, in terms of not committing mistakes, he's more on top of us.
"He knows last year we lost too many points. It could be that (the pressure in the summer) might have helped; it might have done the club good."