And, three weeks later, they can end Wenger's hopes of a seventh FA Cup triumph by seeing off the Gunners in the semi-final at Wembley.
But Sagna said: “I am quite sad for the manager because he doesn't deserve what's happening to him.
“He's a great man and an institution for Arsenal. It's not fair. Sometimes you can have difficult moments but he has always been there for the team.
“They are having a tough moment but the players can turn it around. I would like him to stay. I associate Arsenal with his name."
Sagna, 34, says he will always owe Wenger a huge debt of gratitude for what he did for him during his career.
He said: “For the rest of my life I will be thankful to him because he brought me to England.
“And I will be thankful because even when I had tough moments he always showed trust in me.
“That's why it's quite difficult for me to see him in this position but, to me, he is the man for this situation at Arsenal.
“Whenever you have a hard time you just have to step up and that's what they will try to do against us."