For the fifth successive year there looks set to be no trophy for Wenger's men with their championship chances having been effectively ended by two defeats in five days.
Last Wednesday's loss to bitter rivals Tottenham was hard enough, but the manner of capitulation during the final 10 minutes yesterday at Wigan is rare during Wenger's reign.
Leading 2-0 in the 80th minute with goals either side of half-time from Theo Walcott and Mikael Silvestre, the Gunners appeared poised to rejoin the title hunt.
But the Latics staged the most astonishing comeback as Ben Watson, Titus Bramble and Charles N'Zogbia hit the net to give Wigan their first league win over Arsenal after eight defeats and a draw.
Assessing Wigan's devastating spell, Wenger said: "It's difficult to understand what happened in those final minutes.
"I was concerned before they even scored. We were comfortable, but we lost focus, discipline, and we were caught. It was not like us.
"We had a lack of discipline for the first goal; we made a mistake with the second, and by then we were in shock and it gave them the belief.
"Maybe the players felt too comfortable, but in football you have to remain focused for 90 minutes, and we were punished.
"But it's difficult to swallow a defeat like that because at the end of the day we have conceded three goals to a team that has struggled to score.
"It is the most disappointing defeat of the season, but we have to swallow it, accept it. We cannot change it now, and we have to respond in the next game."
In a season when Wigan have been permanently staring over their shoulder at the relegation zone, they have now beaten Chelsea, Liverpool and Arsenal - all for the first time.
The win leaves them seven points clear of the bottom three and on course for a sixth successive season in the top flight.
"Moments like this are vital for our club, are the reason why we are involved in football and what our fans deserved," said manager Roberto Martinez.
"To beat Chelsea, Liverpool and Arsenal in one season is something that doesn't come by accident, and I'm extremely proud of the players.
"We controlled the game, finished strong physically, and we looked very capable of winning, which against a great Arsenal side is all credit to the players.
"Our weakness this season is that we've not been able to react to disappointment, but we did in this game.
"This was about us finding belief in our football and the work we put in on a daily basis, which is pleasing."