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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."

The company reported revenue of almost $2.8bn (Â£2.1) in the three months to 30 June, up from $1.3bn during the same period last year.
Losses increased to $336m, compared with $293m last year.
But investors were encouraged by the firm's prospects and shares rose by more than 7% in after-hours trading.
Tesla, which also has a solar energy division, said almost $2.3bn in revenue during the quarter came from the firm's automotive unit - roughly the same as in the previous quarter, but 93% higher than the same period in 2016.
However, the company's costs, including for research and development and sales, also rose contributing to the 15% rise in its losses for the quarter.
Tesla is preparing to ramp up car production, as it rolls out its most affordable ($35,000) car yet for the mass market.
Tesla told shareholders it expects revenue to grow "significantly" in the second half of the year, while expenses hold steady.
The firm delivered more than 47,000 of its earlier high-end Model S and Model X cars in the first half of 2017, growth of more than 50% from the prior year.
Since it rolled out its latest car, Model 3, to a small group last week, it is averaging more than 1,800 reservations for the car a day, adding to the more than 400,000 orders that are already placed.
So far, demand for the new make isn't cannibalising interest in the older models, chief executive Elon Musk added.
"July was one of our best months ever," he said. "Who knows if this will continue, but all indications are that it will, so that's very exciting."
The firm hopes to make 5,000 of the Model 3 cars per week by the end of 2017. The firm plans to eventually make more than 500,000 a year at its Fremont factory - or about 10,000 per week.
Elon Musk's company is spending big to make sure the target of 50,000 Model 3s by the end of the year isn't missed.
Production of the "affordable" ($35,000) car being on schedule is critical to the company's future - perhaps even the future of Mr Musk himself as he seeks to court even more money for outlandish projects.
That's why Tesla burned through over $1bn in the last quarter, as analysts had anticipated.
There are half a million pre-orders for the Model 3, and Mr Musk said the company is facing "manufacturing hell" to get them all made.
According to the latest projections, Tesla thinks it's on course to keep customers happy. Any wavering on that goal would send the stock price south. For now, things are on track.
Arsenal manager Arsene Wenger says the continuing debate over his future "is becoming a farce".
[NEXT_CONCEPT]
Electric car-maker Tesla quarterly revenues have more than doubled helped by higher deliveries of its upmarket vehicles but its losses also grew.