The Gunners were beaten by the Championship side 1-0 at The Emirates on Saturday afternoon, and former striker Wright has put the loss down to a perceived lack of respect from Wenger.
"You have to blame the manager for the sheer arrogance of not putting enough into the competition," Wright told the Absoloute Radio.
"The fact is when you've got your manager talking about fourth place being the only priority, why are the players going to be any more up for it?
"The manager has made it clear that the FA Cup is something he's not bothered about but what he is missing is that the FA Cup is something that is worth winning — it's a great day for the fans."
Wright is the second in the list of all-time top scorers for the Gunners, behind Thierry Henry.