The Gunners, while down in sixth place in the Premier League, could reach the League Cup final tonight with victory over Chelsea in their semi-final second leg at the Emirates.
Wenger believes the media are keen to “celebrate" other teams, with Klopp's Liverpool among those clearly in his sights.
“Look, we have been in a few finals," said Wenger, speaking to the press on Tuesday. “Has it changed your mood? No.
“You celebrate some teams who have not been in a final for 25 years and yet you kill us even though we have won the FA Cup three times in the last four years.
“It's like that, we have to live with that.
“To change the mood (of the fans)? I have no illusions at all. The mood is decided by you (the press)."