England have not lost in 26 games since Wiegman took charge in September 2021. They qualified for the World Cup in New Zealand and Australia with a 100% record and beat reigning world champions the United States at Wembley earlier this year.
"You can't beat that - you can only get equal on that," Wiegman told British journalists at Wembley.
"We want to win every game, but we talk about how we can improve the next game... Of course, we want to break all the records, but breaking a record doesn't say what you have to do.
"How do we stick together as a team? I truly believe that's where it starts. The players feel very comfortable with that way of approach. At the moment it works really well and they feel really comfortable. You can tell because we are enjoying ourselves - and winning helps."
Before taking over at England, Wiegman heralded a new era for the Netherlands team, her home nation, leading them to a surprise Euro 2017 victory on home soil and following it up with a run to the 2019 World Cup final in France.
The new year will bring another opportunity for the 53-year-old to claim the trophy that eluded her then.
"We absolutely we have to get better. We have to take our game to the next stage, to make the chance of being successful as high as possible. We want to develop our style of play so we stay unpredictable.
"Yes, of course we have to dream. We're going to a World Cup just to play, we're going there to win."
