The manager is keen to see his side retain their togetherness following a perfect week with wins over Bayern Munich and Everton.
It is the first time in 20 months that they have found themselves at the top of the pile and the north London side will be keen to stay there for as long as possible.
But Wenger admits he is surprised at their position given how well Manchester City started.
"Honestly, I thought it would take much longer because Manchester City started with five wins so it was difficult to envisage that we would come back but we had no choice," he told arsenal.com.
"Last season, after 10 games, there was a big difference between the top teams and us, today no. Let’s continue to work together and continue to improve. There are still many aspects to our game which we can improve."
Wenger’s side were hotly tipped to be title challengers before the start of the season, having finished last campaign strongly and won their second successive FA Cup.
The Gunners will now be keen to remain at the top of the table for as long as possible, although that will be taken out of their hands if Manchester City manage to avoid defeat to Manchester United in Sunday’s derby.
And, while he is naturally pleased to be leading the race at this point, Wenger is keen to see his side focus on maintaining their concentration to put together a proper title run.
"It is very early in the season but we are happy to be where we are," he added.
"We need to keep the togetherness, the concentration, the humility and try to play better football game by game and try to focus on that in training as well."