Chelsea clinched the trophy 12 months after winning the Champions League.
Asked whether he was jealous of Chelsea's Europa League success, Wenger, despite not having won a trophy for eight years, was adamant.
"No," he said.
"You have two teams in the final who were in the Champions League. Their target at the start of the season was the Champions League, not to win the Europa League. And we raised that question many times at UEFA: is it right to reward teams basically for failure?
"Every year, in the Europa League, you have two teams who have been not failures, but who have been in the Champions League. If I'd won the Europa League like Chelsea I'd have been happy as well. It's a trophy. But, overall, it raises the question."