The Gunners boss saw his side narrowly lose to Liverpool in the UEFA Champions League quarter-finals on 8th April and then last Sunday's defeat to Manchester United in a thrilling encounter at Old Trafford effectively ended Arsenal's Premier League title ambitions.
Arsenal have also been unsuccessful in this year's Carling Cup and FA Cup.
"We were very close to challenging in the Champions League and if we had won at Manchester United we would still have a very strong chance to win the Championship.
"That is a year's hard work. To lose everything in four or five days is very difficult to take."
But Wenger insists Arsenal, who have not lifted a piece of silverware since winning the FA Cup in 2005, will learn from their shortcomings.
"We want to finish well and there are 12 points to go for and we could make 83 points and that would still be good progress," added Wenger.
"I feel overall we have made good progress in this season but we stagnated when it mattered, which is down to different circumstances.
"But we have to gain that little bit that changes you from winners into losers."