The Gunners’ hopes of ending a seven-year trophy drought suffered an embarrassing blow on Tuesday night when they fell to a shock defeat against League Two side Bradford City on penalties in the Capital One Cup quarter-final at Valley Parade.
He has previously twice clinched the double for the north London club, who became the first and so far only team to go unbeaten for a whole Premier League season in 2003/04.
His plans to rebuild a team capable of competing for honours have been hampered by the departures of Cesc Fabregas, Robin van Persie and Samir Nasri in recent seasons.
And Wenger lamented what could have been in an interview with Four Four Two before Tuesday’s Cup exit against Phil Parkinson’s Bantams.
“My regret is that we already had a great team two or three years ago which could compete on four fronts,” he said.