It is a defeat that could spell the end for Wenger. That is, if he doesn't take it as an opportunity to overhaul a careless team lacking quality in too many areas.
As painful as it is, the inevitable savage fallout from this embarrassment is completely warranted. That's because Arsenal once again proved that while they have some talented individuals, they are a sloppy team.
The root of the problem is an often arrogant and casual approach, exemplified by several first-team members against Bradford. Too many regular starters failed to try and match the pace and intensity of the game.
Many of them were content to surrender possession with a quick layoff or return pass. Players didn't want the ball, didn't want to seize the initiative.
Before people rush to commend Bradford, it is not disrespectful to suggest Arsenal should have dominated their lower league opponents. Wenger picked a strong team, and seeing many of his first-choice contingent fail to make their technique count against a League 2 side, must push him towards a rebuild.
Aside from Jack Wilshere, whose effort wasn't always matched by quality, not many Arsenal players were good enough to win this game.
That is an indictment of Wenger and his players and it could prove to be a fatal one.
Yet that is the problem. Several of Wenger's recruits won't try and let their ability win through. They instead arrogantly assume their reputations alone are sufficient.
Worst still, Arsenal no longer possess the quality to outplay compact, disciplined teams. So even when some toil hard, there is not enough class in the areas that count to see Arsenal through.
The prime example is up front, where the Gunners have struggled all season. Wenger has still not decided on his best forward line.
Admittedly, he hasn't been helped by the general inconsistency of Gervinho, Olivier Giroud and Lukas Podolski. Yet, maybe the real question should be are any of this trio good enough to lead the attack for a top-four contender?
At the moment it's difficult to answer yes. Against Bradford, Gervinho was again culpable of hesitancy and poor decision-making. Podolski meanwhile, was largely anonymous, and this is not the first time he can be accused of that this season.
Wenger must recruit an alert, quick-thinking striker with a sure touch and calmness in front of goal. While searching for a goalscorer, Wenger must also locate a true playmaker for the wide areas.
A greater level of creativity is needed, as well more proficiency in the box. Wenger has to spend his money better.
To keep faith with these first-team regulars after they were tamed by a League 2 outfit would be a grave mistake. Wenger's belief in his players has been commendable, but losing a quarterfinal to lower league opponents puts him at the most dangerous crossroads of his Arsenal career.
Had this been Wenger's usual League cup mix of youngsters with fringe first-teamers, many would be prepared to write off the result. That it was the regulars who surrendered so limply, has devastating symbolic value.
It symbolizes Wenger's failures in squad-building and his struggles to sufficiently motivate a consistently sloppy team. It's sad that a great reign should begin it's painful end on a frozen pitch in English football's lower tier.
However, that is the price of hubris. After this example of gutless conceit, Wenger and Arsenal no longer have any excuses.
Nobody will forgive the Arsenal boss if he declines to rebuild now. It's time to admit mistakes and fashion a new team for success before it's too late.