The Frenchman, who spent the first nine years of his reign in north London stocking the club's trophy cabinet, has now gone eight seasons without any silverware and storm clouds are gathering with Bayern Munich on the horizon on Tuesday.
As preparation for a Champions League last-16 tie against the rampant German leaders goes, a home defeat by second tier Rovers was about as demoralising as it gets.
Boos rang out at The Emirates as Arsenal's players trudged off the field, although thousands had already left the ground before the final whistle sounded.
With Bayern three days away, Wenger understandably left Jack Wilshere, Theo Walcott, Santi Cazorla and Lukas Podolski on the bench, confident a team containing 11 internationals could get the job done against a workmanlike Rovers side.
However, the result showed Arsenal's squad lacks quality in depth.
Forward Gervinho looked short of class, especially when missing the best chance before halftime, while Alex Oxlade-Chamberlain laboured to make any impression.
The statistics showed Arsenal had 70 percent of the ball and 26 goal attempts but there was little conviction to their attacking play and Blackburn's 'route one' goal embarrassed the home defenders.
Wenger took an age to face the media after the game and looked ashen-faced as he tried to explain the defeat.
"Of course it is disappointing," he said. "It is very difficult to accept but it happened - we had enough chances to win but we didn't.
"Offensively we lacked ruthlessness and calm in front of goal. We didn't make enough of our corners.
"If you look at the Premier League teams who went out against lower-league sides you will see it happened to many of them," added Wenger.
"We were not good enough to win the game, it is as simple as that. Not one defeat is acceptable - you are in this job to win every single game."
Wenger, whose last trophy for Arsenal was the FA Cup in 2005, had never lost to lower-division opposition in the competition but refused to accept he had taken Blackburn, relegated from the top flight last season, lightly.
"We had 11 internationals on the pitch at the start," he said. "I can understand the fans are not happy when the team loses to Blackburn at home.
"It is very painful and very disappointing to lose a game like that. What is important now is to focus on the next one."