Needing to overturn a 4-0 deficit in their Champions League last-16 tie against AC Milan and trailing Premier League leaders Manchester City by 17 points, their campaign is all but over but the Frenchman refused to write it off altogether.
"We have to take the critics on board and stay together and face the critics. There is only one response ... to stay united and fight and focus on the next game," Wenger told a news conference after a 2-0 FA Cup Fifth Round defeat at Sunderland.
"Let's focus on our next game to finish well in the championship and fight as well - even if it's a small possibility - in the Champions League."
Wenger had described the heavy midweek defeat in Milan as their "worst performance in Europe" and there was little sign of improvement on Saturday.
While the manager praised his players for a "committed performance", neutrals will have seen a disjointed showing at the Stadium of Light with little attacking flair and a shaky defence.
The FA Cup was the last realistic chance of silverware for the North London club whose most recent addition to the trophy cabinet was from the 2005 edition of the competition.
Defeat owed as much to Arsenal's weaknesses as Sunderland's determination, with Gunners defender Johan Djourou giving away the free-kick that led to Kieran Richardson's opener and Alex Oxlade-Chamberlain then scoring at the wrong end.
It came almost a year after the shock defeat by Birmingham City in the League Cup final which triggered a dramatic slump in form that Wenger has yet to reverse.
At the helm since 1996, he is still not under the same kind of pressure from fans and media that Chelsea's Andre Villas-Boas is grappling with after a similarly underwhelming season but he is nevertheless under scrutiny.
Asked where the Sunderland defeat left Arsenal, Wenger replied: "It's too early to say."
Responding to a query over whether his club were in crisis, he said: "It depends what you call a crisis. I feel every time we lose a game we have a crisis. Our job is about winning and playing well."
Arsenal's season has not been helped by a string of injuries to key players and the treatment room filled up again on Saturday with Aaron Ramsey, Sebastien Squillaci and Francis Coquelin picking up knocks.
It left Wenger concerned about numbers before next weekend's North London derby against Tottenham Hotspur who are rubbing salt into the wounds of their bitter rivals by enjoying one of their best seasons in years.
"We have a big game next Sunday," Wenger said. "We lost three players again today and we are starting to get very short."
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