Despite the gap on his CV where the trophy should be, Wenger remains proud of his and Arsenal's record.
"We are one of only three clubs who have come out of the group stage 10 consecutive years," said Wenger, whose side begin this season's campaign at home to Portuguese side Braga on Wednesday.
"Teams with massive money have not done it. We deserve a lot of credit for our consistency.
"After that, we deserve a lot of blame for not having won it.
"I believe our group stage is a good test. It is much stronger than it looks."