The fact it was a campaign won by Premier League relegation favourites Leicester City only made matter worse.
But there is some light at the end of the tunnel for Arsenal with the carrot of potentially finishing above bitter rivals Tottenham Hotspur on the last day of the season.
Bilic's East London revolution
West Ham meanwhile have impressed fans and pundits alike by mounting a serious challenge for the Champions League places this season.
As well as taking four points off of the Gunners this season, Slaven Bilic has reinvigorated the East Londoners and with stars such as Dimitri Payet and Manuel Lanzini, the Hammers are playing the 'West Ham way' once more.
The Irons have officially enjoyed their best ever season in the Premier League era and have a positive goal difference for the first time since 1986.
The club makes the big move from the Boleyn Ground to the 60,000 seater Olympic Stadium in the summer and speculation has been rife about potential signings to help the Hammers push on and challenge for honours.
'Expect the unexpected'
And Wenger, who as the longest serving manager in the top flight has seen it all during his time, believes West Ham are a team the big clubs should be wary of - as reported by Sky Sports.
"The big question mark is what happened with Leicester can happen again because first of all every English team can buy players," Wenger said, as reported by Sky Sports.
"And maybe a team that nobody expects now will come next season and surprise everyone. All the English clubs have the money to buy now.
"You've got West Ham moving into a new stadium with more potential with the finances that brings."