Wenger, who marks 15 years in charge of the club next month, has rarely experienced a run as bad as this in all that time.
Since losing to Birmingham City in last season's League Cup final in February, Arsenal have won just three of 16 league matches, and along the way have lost two of their most charismatic and important players, Cesc Fabregas to Barcelona and Samir Nasri to Manchester City.
Saturday's defeat keeps the pressure squarely on his shoulders, but at least lifted it from Rovers' boss Steve Kean after fans called for him to be sacked before the match.
UNDER PRESSURE
An indication of the malaise in the Arsenal side was well illustrated at Ewood Park.
Twice they led, 1-0 and 2-1, yet conceded two own goals in the second half and ended up beaten by a Rovers side who had not won in the league and started the day bottom of the table.
Wenger, whose last trophy at Arsenal was the 2005 FA Cup, came under pressure from fans for the first time last season, and that will intensify after they lost for the third time in five league matches despite having far more chances and possession than Rovers.
He told the BBC afterwards: "We had so many chances in the game and on top of that we scored two own goals so it is unbelievable to understand, but we have to take it on the chin.
"At the moment defensively we are fragile because our confidence is gone due what happened at Old Trafford."
Arsenal lost 8-2 to Manchester United three weeks ago - the first time they had conceded eight in a match since 1896 - which prompted the Frenchman to uncharacteristically swoop for players on the last day of the transfer window when he brought in Mikel Arteta, Yossi Benayoun and defender Andre Santos.
It appeared that Arsenal might be regaining their usual self-belief after a fortunate 1-0 win over Swansea City in the league last week and a 1-1 draw at Borussia Dortmund in the Champions League on Tuesday, but the manner of this defeat suggests plenty is still wrong.
They were static at set-pieces conceding two goals through poor defending, and although Arteta created plenty of chances in midfield and they scored three, they wasted many more that an in-form confident side would have taken.
In contrast, Blackburn, who had managed just one point from their first four games, showed real team spirit and character.
The victory came against a background of disgruntled fans who staged a protest march before the match demanding the board sack Kean but he was in an upbeat move afterwards.
"Before today I think we have been on the wrong side of some bad results, but not bad performances," he told Sky Sports.
"I thought when we played at Fulham last week we dug in for the last 20 minutes - backs to the wall - and hung on for a point, and against Everton I thought we were excellent and should have won but we missed two penalties.
"Today we showed a lot of character which ever
