The Gunners were rated as the big favourites to overcome Blackburn Rovers in round five of the FA Cup, but the visitors from the Championship managed to win through 1-0.
That resulted in a large amount of jeers at the final whistle and Wenger has insisted that he can have no complaints.
"What do you expect, people to applaud when you lose a game like that? It's absolutely normal," he told BBC Sport.
The defeat has left the Champions League as the only tournament that Arsenal can now realistically win.