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The Frenchman was speaking after the Gunners' defence of the FA Cup was ended by a 2-1 quarter-final defeat at home to Watford on Sunday.
The loss means Arsenal have won just one game in their last seven.
"The next game is always a big challenge and you are always in the middle of a drama. It is becoming a farce," said Wenger.
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Arsenal's faltering recent run has seen them lose 2-0 at home to Barcelona in the first leg of their last-16 Champions League tie.
The second leg is on Wednesday and unless Wenger's players stage an unlikely comeback, they will exit the tournament at the last 16 stage for the sixth successive season.
The Gunners have also gained just one point from their last three top-flight games and now trail leaders Leicester by eight points.
They did win at Championship side Hull in an FA Cup fifth round replay but some Gunners fans held up a banner reading 'Arsene, thanks for the memories but it's time to say goodbye' at the game.
"What is going on at the moment is very, very difficult to take for the players but judge us at the end of the season," said Wenger.
"We have come to the end of a very, very long run in the FA Cup, so it is very sad, but we want now to focus on the next game."
He added: "We have lost a game. We are sad and we want to focus on the next game.
"Arsenal has lost games before in history and we will lose again in the future. We will stick together and cope with it and prepare for the next one with complete belief.
"Supporters stand behind the club and we want to fight until the end of the season for every single game."
Arsenal manager Arsene Wenger says the continuing debate over his future "is becoming a farce".