But Wenger insists it is too early to know whether they can see the job through.
The Gunners were made to work hard for their share of a 1-1 draw at West Brom on Sunday, with Claudio Yacob putting the hosts in front and Nicolas Anelka missing two fine chances before Jack Wilshere's deflected equaliser.
Arsenal created a couple of good opportunities of their own to make it six league wins on the bounce but a point was enough to leave them ahead of Liverpool at the summit, albeit on goals scored.
Despite that being a promising position, Wenger last got his hands on the Premier League trophy in 2004 and is understandably wary of getting ahead of himself.
"I feel it was important not to lose once we went a goal down, that was the most important thing for the mental comfort," he said.
"Of course it is good as well to remain top. (But) the mentality of champions is built up throughout a season.
"It is a bit early, only October. In March, April you can show you have the mentality of champions.
"At the moment it is early but it is good to continue our run.
"It requires special resilience. I believe that what is important is to continue to focus on the way we want to play."
Wenger was also generous in his praise of the Baggies.
After a troubled start to the season things have begun to go very right for Steve Clarke's men.
They are now four games unbeaten, with last weekend's 2-1 win away at Manchester United the key result.
"West Brom have many players who can create, are quick on the ball, can manage the ball. They confirmed here why they won at Manchester United," said the Frenchman.
"They have good players in every position and a huge squad. (Victor) Anichebe was not there, (Shane) Long was on the bench, (James) Morrison was on the bench and (Graham) Dorrans not even in the squad.
"It is a massive squad, really. I am not pleased because we want to win but if you ask me is it a fair point I would say yes."
West Brom's match-winner against United was 20-year-old forward Saido Berahino and the England Under-21 international was rewarded with a first Premier League start against Wenger's side.
Berahino performed admirably, particularly in a livewire first-half display, and while he continues to clear every hurdle placed in front of him Clarke has warned he must manage the youngster with care.
"Last week when he came off the bench and did so well nobody in the camp was very surprised because he's been like that since the start of the season," said the Scot.
"But sometimes with young players you have to decide whether to protect them a little bit.
"He's had a lot of publicity and it was quite a big decision whether or not to start with him, but he justified the selection.
"He was terrific again, though it's important we stay focused with Saido and keep it game to game.
"For us it's important to protect him at the right times."