The Gunners boss is also unconcerned by his side's recent goalless run.
The Gunners started the season poorly but have rallied strongly in 2015, being one of the league’s most in-form sides before a recent disappointing run.
They have, however, competed well in the big games, beating Manchester United at Old Trafford in the FA Cup, Manchester City away from home, overcoming Liverpool and generally doing well against their rivals at the top of the Premier League.
And Wenger says simply competing in these big games is a big hurdle his side have overcome and one that should stand them in good stead for next season.
“We have overcome a hurdle that we did not do last season, to exist in the big games,” he said.
“That is very important when you want to challenge. We have made progress, we have better defensive stability, the belief in the team is strengthened for a big challenge next year.”
The manager also insists that he is not worried by the Gunners' goalless run heading into Sunday’s final fixture against West Bromwich Albion.
His side have failed to find the net in their last three home games, with the recent goalless draw against Sunderland following a loss to Swansea, another team that had frustrated them throughout the game.
Wenger, though, insists if his side continue to create as many chances as they have been doing, then they will soon find their goal scoring boots again.
“It’s difficult to analyse really,” Wenger added.
“We didn’t score against Chelsea, Swansea City and Sunderland but it’s unusual for us. If you look at the games, we had the chances to score in every single game. Before, we scored goals for fun and I’m sure if we just concentrate on the quality of our game that we will score again."