Wenger watched his Gunners chuck away a two-goal lead against West Ham on Sunday - and the chance to move within three points of table-topping Chelsea.
Midfield schemer Arshavin said: "Not only me, all the team are unhappy about it.
"We got what we deserved with our performance.
"We are very upset indeed. Such results do not add positive emotions to the players, the manager or our fans."
Five days earlier, they had to settle for a 1-1 draw with AZ Alkmaar in the Champions League after leaking an injury-time goal in Holland.
Arshavin said: "The West Ham game turned out to be almost a copy of what happened against Alkmaar.
"Initially we easily got an advantage - this time we were 2-0 up and then we allowed West Ham to equalise from set-pieces.
"If we had won on Sunday, we would now be very close to Chelsea in the table."