The Gunners are expected to make some moves to bolster their squad this month, with a £10million bid for Atletico Madrid striker Adrian Lopez said to be on the table while fringe players like Johan Djourou, Sebastien Squillaci and Morocco forward Marouane Chamakh, a target for West Ham, will also be offloaded.
However, as he prepares to take his team to Swansea for Sunday's FA Cup third round tie, Wenger said: "In our job it is important that you focus on what is really important, the players who can help the club to win the games - those who are somewhere on the transfer market will not help you to win the games."
The Frenchman added: "The most draining is that you get the best out of your team and worry about the next game. For us it is important to focus on our next game and our next game can only be won by the players who are here."
Wenger admits it is becoming harder to locate bargain buys and accepts pressure is for players to make an instant impact rather than be allowed time to grow at their new club. However, the Arsenal manager does not expect many major moves in the opening week of the January window.
"(I'm expecting it to be) very calm because, first of all, I believe there is little money and what can happen is basically a transfer market within the English clubs," Wenger told Arsenal Player.
"That is more difficult than with the foreign clubs. Overall, I believe that not a lot will happen. The clubs have to look at the finances. What makes the clubs are the fans and what makes the fans is the economy. On that front, nobody is really sure what will happen in 2013."
Wenger intends to take a strong squad to Wales as he looks to continue his own personal love affair with the world's oldest knockout competition, which brought Arsenal their last piece of silverware back in 2005.
"It is something special because it is something exciting, it is watched all over the world. It has a special history in England and I always respected that," Wenger told a press conference. "I am always sad when we don't win it or when we go out. We will put our maximum effort in on Sunday to win the game."