Arsenal, who have made their worst start to a season since 1953, lie 17th in the Premier League and could drop into the relegation zone if they lose to Bolton Wanderers on Saturday.
Their bad start, which has yielded four points from a possible 15, has triggered criticism from fans demanding Wenger be sacked after almost 15 years in the job.
However, Walcott told Absolute Radio on Friday: “The boss is a great man, he can deal with anything thrown at him.
“He’s been at the club for 15 years and so he’s not under any pressure at all. Us players, we need to look at ourselves and start doing it on the pitch, to be honest.
“A lot of people say about the defensive sort of issue but it’s not just the back four, you need to look at defending as a whole team.
“We haven’t managed to do that, to be honest, so we need to make sure we’re at it against Bolton at the weekend.
“It’s going to be a tough game. They have come from a good result during midweek.
“We’ve got a few home games and that’s important for us now, to have our home support. The boss can deal with anything.”
Arsenal lost 4-3 at Blackburn Rovers in the league last week and were trailing League Two (fourth division) Shrewsbury Town before beating them 3-1 in the League Cup on Tuesday.
Bolton, meanwhile, won 2-0 at Aston Villa in the League Cup on the same night, but their chances of victory at Arsenal are remote judging by past results as they have not won there in a league match since January 1962.
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