The Emirates Stadium side have had an improved campaign this term, going further in the Champions League and, with three games left, have already amassed six more points in the Premier League than they did 12 months ago.
However, having looked so dominant in the early stages of the season, their lack of silverware at the end of the campaign is seen as a disappointment.
"You know you will be criticised for that," Wenger told Arsenal.com. "But you don't need to accept everything.
"People say you make mistakes, well that is professional. When people say you don't know what you are doing, that is a little bit disrespectful."
"At the moment I am trying more to protect the players so they don't lose their self-esteem and their confidence," he said. "I feel that is important for the future of the team and for themselves."