But even as the odds shorten almost out of sight on another painful, trophyless season for Arsenal, the manager ought to be congratulated for his ambition.
When faced with injuries and suspensions Wenger refused to choose between the Premier League and the Champions League.
Blown away: Wenger's Arsenal team could not cope with Barcelona
When Cesc Fabregas said he was fit to play against Barcelona in the first leg of their quarter-final and the physios concurred, the talisman was given the final word. And again, even when he felt the broken bone in his leg.
Going to the Nou Camp on Tuesday night with a team that, had all those missing been fit, would probably have prompted an official complaint in the Premier League, Wenger still believed in their chances.
The Frenchman is not always as gracious in defeat as he was at Barcelona and he is seldom expansive in the transfer market.
Arsene doesn't always 'know'. But Wenger is a winner and he will clearly never let the standards Arsenal strive for drop.
You won't catch him withdrawing his best player after 65 minutes of a key game to the bemusement of everyone around him.
He just refuses to compromise and, even if hasn't paid off fully for a while, it is a quality we ought to applaud.
Zoltan Gera is a pretty poor actor and will surely get the hard-to-shake reputation of a diver if he continues with the conduct of the last week.
Make no mistake, the Fulham forward is a talented player. That is why Bobby Zamora gives him the credit for some of the improvements we have seen in the former West Ham striker this season.
Dangerous game: Peter Pekarik of Wolfsburg tackles Gera in the Europa League
But when Gera goes down untouched in the opposition penalty area he is fooling nobody.
There have been two such incidents in the last week, against Wolfsburg and Wigan at Craven Cottage, and they were both pathetic.
Luckily for Gera nothing was awarded, because the Hungarian must have been in serious danger of being booked for diving.
Fulham won both games too and need neither Gera's extremely amateur dramatics or the reputation that he will get if he persists in trying it on.
Assuming nobody is so offended by Gera's antics that they refuse to go to Fulham, you must wonder what the players have to do to attract more support.
While March was awful in the Premier League for them, they have been great in Europe.
Roy Hodgson's team can be pretty pleasing on the eye too and there are much worse sides out there who haven't had to resort to giving away tickets.
But Fulham still felt they needed a remarkable two-for-one voucher offer for their home game against Stoke on April 14 (now closed, I'm afraid). Them and Pizza Hut, apparently.
Carlo Ancelotti blamed Didier Drogba's nagging hernia problem as the reason for leaving him on the bench for most of Saturday's win at Manchester United.
More from Leo Spall. LEO'S LONDON: Chelsea will look to Florent Malouda to put Manchester United in their place at Old Trafford31/03/10 LEO'S LONDON: Arsenal's central defensive OAPs not good enough24/03/10 LEO'S LONDON: Forward thinking Harry set to change his game at Spurs17/03/10 LEO'S LONDON: John Terry must not follow Frank Lampard's path if he is to rise above the hate mob10/03/10 LEO'S LONDON: If Joe Cole is to burn bright again, the only way forward is through the Chelsea exit03/03/10 LEO'S LONDON: It's hard to show sympathy for sensitive Woodgate24/02/10 LEO'S LONDON: Mourinho is having a laugh over his latest Chelsea claims17/02/10 LEO'S LONDON: Arsenal face heartfelt blow if Spurs pip them to third10/02/10 VIEW FULL ARCHIVE But there appears to be little room for both the Ivorian and Nicolas Anelka in the system the Chelsea manager is employing, and sticking to the recent trend of using one or the other could win him the title.
The strikers can play together, of that there is no doubt.
However, outside a formation that accommodates a fairly traditional front two, they are looking better apart.
Chelsea's sensational form against Portsmouth, Aston Villa and United shows that holding one or the other back can be extremely productive.
Their draw at Blackburn and defeat against Inter Milan demonstrated the opposite too, when the pair played together.
Anelka can play out wide. In fact, he does a decent job there whenever he is asked to perform the role, but it is not his best position and Chelsea have others who are more effective there.
The France striker is most dangerous played through the middle and he and Drogba provide different challenges for defenders.
Keeping one or the other ready to use in reserve is a great strength of Chelsea's, one neither United nor Arsenal can pretend to match.
Options: Chelsea strikers Drogba (left) and Anelka
Spanish press: Masterful Messi terrifies Real Madrid with exhibition against ArsenalArsenal's beaten men vow to bounce back from their mauling at the hands of Lionel MessiBarcelona 4 Arsenal 1: Magical Lionel Messi hits four to wreck Gunners' Euro dream as champions cruise into last fourFulham 2 Wigan 1: Roy blasts fans' wake-up call as Hangeland seals winMilner in line for Aston Villa comeback in FA Cup semi-final with ChelseaDrogba: Winning Premier League this season would top 2006 triumph