Last season's third-place finish secured Champions League football for the 13th consecutive year at Arsenal.
But Wenger said on the Arsenal Season Review DVD: "[Not winning a trophy hurts me] more than anybody else.
"You know I do not work with the energy I put into this job to finish second or third; I want to finish first. But we are in the best league in the world and people invest massive money.
"I would say 17 teams today would be very happy to be in our position and some of them are from very big clubs."