The Gunners drew 0-0 with Southampton on Tuesday evening.
The Gunners are looking to be title challengers this season, with a strong start to the campaign having set them up to do just that in the second half of the season.
However, a poor run of form over recent weeks is threatening to curtail that and Wenger's men are currently winless in four games after Tuesday’s 0-0 draw with Southampton.
They were utterly dominant against the Saints though, and Wenger says the terrible thing is that they are not playing badly but not picking up points.
"What is terrible is that our performances are not bad,” he told arsenal.com.
“That is worrying because with the quality of the performances we had, we didn’t take the points and that’s very difficult for the players to take as well.”
"The team is strong. We have shown, I believe, a great performance, especially in the second half, but we couldn’t finish the game off. We have to look at ourselves and not be satisfied with that.”
Perhaps the solution for Arsenal then would be to start picking up victories without the impressive performances.
It has often been labeled at them that they don’t have the steel to win games the dirty way, a trick that is vital to title winning teams, something that Chelsea demonstrated clearly last season under Jose Mourinho.
And perhaps that should be a route that Arsene Wenger’s side should follow if they have serious title ambitions this season.