Wenger is still coming in for flak from supporters, with the Gunners sixth in the Premier League and struggling for consistency.
But French defender Sagna said: "We see that Wenger is a very, very good coach.
"When you hear the criticism it's a bit embarrassing, because we're at fault a bit. In, fact we are totally at fault.
"For Wenger's sake, we had to react. For him and for the club."