He is desperate to end Arsenal's long wait - with the FA Cup representing a big chance to taste glory.
Wenger said: "Of course it bothers me because I'm not here to watch other people win trophies.
"It is important and I will give my best to win. The only way to stop the talking it is to win.
"For us it's important to show continuity and consistency - and the FA Cup is part of that. I think it is an important moment of the season for us."