This was not "just one game," something to be flippantly written off as a minor blip in what will be an otherwise successful campaign. The humbling defeat to Norwich City on Saturday was supposed to be "just one game."
These results have been hard enough to take, but it is the manner of the performances that should shake Wenger to his very core. Arsenal have looked nothing more than a mid-table team in their last two fixtures.
They have been timid, clueless and fragile and certainly a world apart from a squad capable of landing major silverware. How can things have gone so wrong since that stylish and accomplished dismissal of West Ham United on October 6?
That's the question Wenger must answer, and he had better do it fast. Arsenal's annual shareholders meeting takes place tomorrow, and Wenger can expect a frosty reception.
The meeting has been a prickly affair during the latter part of Arsenal's seven-year trophy drought. Now that an eighth barren year seems a real possibility, things could turn ugly fast if Wenger can't articulate a message of hope.
The only way he's going to pull off that neat a trick is to send a clear signal of intent. This is no time for Wenger's usual mix of "keep the faith" platitudes and principle-laden defiance.
Whether his principles about how to run the club are right or not, and this author believes they are, the issue is the product on the pitch. Dire is too polite a word for the recent performances of that product.
Performances of that nature have to be met with accountability. As a fan of Aaron Ramsey, it is difficult to see him struggle so much since his injury.
However, it is not the job of a fan to take a hard line and ruthlessly cast Ramsey aside if he continues to falter. That burden rightly falls on Wenger. That Ramsey and calamitous left-back Andre Santos actually managed to keep their places after their performances against Norwich is a disturbing indictment of this squad and injuries are no excuse.
Why wasn't precocious youngster Serge Gnabry given a chance against Schalke instead of Ramsey, who couldn't have attempted any more than three forward passes against the Germans? Both Laurent Koscielny and Vermaelen have experience at fullback, yet Santos was allowed to continue.
Wenger must start adopting a more unforgiving stance with those players who consistently put Arsenal at risk. Ninth in the English Premier League and second place in their Champions League group means the Gunners can't afford to indulge too many players learning as they go.
Perhaps the more worrying aspect is that many of Wenger's recent acquisitions are getting dangerously close to representing wasted money. Forwards Gervinho, Olivier Giroud and Lukas Podolski all cost in excess of £10 million, yet all continue to misfire.
Part of the problem has been too much change, too much rotation. Shifting between a front line led by a natural target man like Giroud and one featuring a false nine has undermined the progress shown by Gervinho and Podolski earlier in the campaign.
It has also clearly stifled the confidence of Giroud. The front three performed well in Arsenal's second game away to Stoke City. Although the result was 0-0, the performance of the attacking trio inspired confidence that Arsenal had a real platform to build on this season.
However, that same front line has started together only three times since. It's that kind of indecision and revolving selection that has condemned Arsenal to what looks like yet another season of transition.
The same problem derailed Arsenal's best chance to prove themselves worthy of silverware when they entertained Chelsea on September 29. It was the defense that was interfered with that day, with Laurent Koscielny wrongly being thrust into the fray.
If the likes of Gervinho and Giroud can't produce consistently, Wenger must accept the folly of purchasing players who don't fit the mould and seek replacements. If these players are deemed to be the way forward, then the French boss must pick them and find a way to form the right combinations.
Being forced into selling Robin van Persie and choosing to part ways with the frustrating Alex Song naturally pushed Arsenal into rebuilding mode. Now Wenger must convince fans that he actually has a clear idea of how his new pieces best fit together.