Wenger has big problems at the back and I really fear for his side if he does not bring Laurent Koscielny back into central defence on Saturday.
The way young duo Calum Chambers and Rob Holding performed there in last week's defeat by Liverpool means there is a massive question mark over them, and Wenger's decision to play them.
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Some Gunners supporters are already unhappy and, if this game also goes the wrong way, they are going to become even more irate.
That is really unhelpful for their players at this stage of the season when they are trying to gain momentum and confidence, so Wenger has a big call to make - and he has to get it right.
Arsenal were the only team to beat Leicester home and away last season but I cannot see them dominating the Foxes this time.
It will be end to end because the Gunners are not capable of shutting up shop. They will have a go at Claudio Ranieri's side, which of course plays into their hands.
On their day, Arsenal's free-flowing football is good enough to destroy anyone and it does not matter who they play at the back.
However, they looked fragile with Chambers and Holding playing together and there was definitely a lack of confidence in their defence, which is why Koscielny has to return this time. I would be amazed if he doesn't.
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Koscielny is not injured, just being rested after returning to training late after Euro 2016 and, even if he is only 80% fit, I would play him.
In his position, he does not have to cover as much ground as other outfield players and he could get through the game.
As a player, if I was in his situation I would be hammering on the manager's door saying, 'you need me, I can play, stick me in'.
But maybe he is saying that, and Wenger is still not picking him because he thinks he is not ready physically. If that is the case Wenger will have to take responsibility if things go wrong again.
Arsenal played a high-pressing game in the first half against Liverpool but they could not sustain that tempo for 90 minutes - it is virtually impossible for any team.
When the Gunners stopped doing it, in the second half at Emirates Stadium, they conceded a flurry of goals but very rarely will they come up against a team that plays so well for such an intense period of a game.
Yes, Arsenal could have defended better, kept their shape better and played more percentage football but Liverpool's performance in that 20-minute spell was pretty sensational and they scored some absolutely brilliant goals.
So I don't think Wenger will be overly concerned that will happen to his team every week, and he certainly will not be worried about it against Leicester. I don't think Arsenal will try to press the Foxes in the same way.
I would imagine he and the Arsenal players believe they can go to the King Power Stadium, dominate the ball and cause more problems than the Foxes can cause them.
They did it last season, when they won 5-2, and they will think that once again they have more quality on the pitch so they will create more chances and be able to win the game playing that way too.
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Leicester also lost last week, going down to a surprise defeat at Hull.
But I did not read too much into the Foxes' poor performance because their defence was missing Robert Huth, whose organisation and presence was absolutely pivotal in their title win.
Huth is back from his ban on Saturday and he might not be the only familiar face back in Ranieri's starting XI.
Against Hull, he left out Marc Albrighton and Shinji Okazaki from the team that played almost every game last season.
I understand why he did it - because he is trying to move his team forward - but it is hard to do that while retaining the same ethos that brought them their success.
They will be desperate for three points from their first home game of the season, and a tried and tested line-up might be the way to get it. They are likely to return to their regular way of playing too.
Leicester only had more possession than their opponents in five of their 38 league games last season, but they had marginally more of the ball than Hull last weekend - 50.3%.
The Tigers sat deep and did not allow them to play to their strengths on the break but against Arsenal the game is far more likely to follow a pattern that suits Ranieri's fast attackers.
I also think Leicester have to be careful not to believe their own hype now they are champions, start to over-play and forget their strengths.
It can easily happen - I played in teams where we did that when we just won a few games in a row, for example at Fulham when we were on a good run and got a bit confident.
We still had Bobby Zamora up top, who we could play long to, get the ball into his chest and play off him but at times he would be screaming at us to give him the ball because we would be passing it around at the back thinking we were a good side.
All of a sudden teams were pressing us, nicking the ball and causing us problems, and we had to rethink, and remember what was getting us results.
Leicester have bright players and a clever manager so I do not see that being a massive issue for them, especially on Saturday. Arsenal will come at them and leave space behind their defence for them to pump it up there for Jamie Vardy to get in the channels and cause havoc.
This is a big game for Vardy, against the team he turned down over the summer.
He was visibly frustrated at missing the chances he got against Hull and, facing Arsenal, he will be determined to prove a point and show them why they wanted him.
There is the chance the circumstances mean he could try a little bit too hard to make things happen instead of just playing naturally but it will be hard to tell because he looks like he gives absolutely everything in every game anyway.
I actually thought he was a bit unlucky not to score against Hull because he was only denied by a tremendous block.
Yes, he also blazed one shot over the bar which is unlike him but he set himself ridiculously high standards last season and it will be very difficult for him to maintain that ratio.
It is the same for any striker, and can happen for a variety of reasons but I do not see it becoming an issue for Vardy because the way he plays and the way his team plays means he is always going to get chances, including against Arsenal.
The occasion is set up for him and, the way he is, it certainly would not surprise me if he goes and bangs in the winner.
Danny Murphy was speaking to BBC Sport's Chris Bevan.
Arsenal's trip to defending champions Leicester is a huge game for both teams, but it is especially important for Gunners boss Arsene Wenger.