The Gunners head to Madejski Stadium in need of a confidence boost following the shock penalty shoot-out defeat at League Two Bradford.
Despite their inconsistencies, Arsenal remain within striking distance of the top four of the Premier League, as Saturday's results left them three points off the top four, albeit without Tottenham and West Brom having played.
Wenger accepts the atmosphere has been somewhat subdued at Arsenal's Hertfordshire training base this week, but maintains it is now up to the players to show their strength of character.
"There has been disappointment and frustration [this week], but that is normal when you go out in a competition like that," Wenger said.
"However, having said that, we can only look at ourselves, get on with it and look for the future."
Although there have been plenty of calls for a fresh voice at the helm, Wenger, 63, maintains he is the right man to turn Arsenal's fortunes around.
England defender Kieran Gibbs, 23, believes Wenger's work in developing raw talents such as himself can never be underestimated.
"He has built a reputation for signing players for a modest fee and turning them into great players," Gibbs told www.fourfourtwo.com.
"I don't think many people in England had really heard of Thomas Vermaelen before he arrived and yet he became an instant fan favourite at the club.
"The manager has an eye for noticing the potential in promising players."
Much has been made of the role of assistant manager Steve Bould this season after he replaced Wenger's long-term right-hand man Pat Rice.
Full-back Gibbs feels the former Arsenal centre-half has helped make an impact on the side.
"Steve has his own view of the game and goes through a lot of detail after matches," said Gibbs.
"He makes sure everyone understands their unique roles and we have worked on a number of things, including how to face attackers and moving up the pitch as a unit."
Arsenal will be out to build some momentum in their Premier League campaign with victory over the struggling Royals, having beaten West Brom last weekend.
Midfielder Santi Cazorla accepts the Gunners cannot keep throwing away points and need to show more maturity when in winning positions.
"We haven't been consistent," the Spain international told Marca.
"There have been games where we haven't been mature enough as a team and haven't held onto the positive results. We are hoping to make up some ground."
Cazorla impressed after his summer arrival from Malaga, and is enjoying his role at the head of an attack-minded midfield trio alongside compatriot Mikel Arteta and England's Jack Wilshere.
"I am very comfortable with where the manager positions me, support striker, with the freedom I like to have," he said.
"The team also plays a type of football which suits me very well and I take on more responsibility every day."