The 35-year-old says it is difficult to hear and see fans being negative towards the manager, while revealing he wants to return to the club at some point in the future
Arsenal legend Thierry Henry has insisted the criticism of Arsene Wenger is wrong, indicating the club's current eight-year spell without a trophy does not take anything away from the manager's successful legacy.
The Gunners' last piece of silverware was the 2005 FA Cup and they face another tough battle to finish in the Champions League qualification places this season, leading to a number of fans becoming frustrated with the long-term boss.
However, the forward believes his fellow Frenchman - who he won two Premier League titles and three FA Cups under - labelled the negativity towards Wenger as "sad" and reminded supporters of his successes.
"When you don’t win, people are always going to question your work, your legacy and what you did before," he told reporters. "It is sad, but that is the way the game is.
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"You are always going to get judged on your last performance or what you are doing at the moment.
"But it is kind of hard to criticise Arsene Wenger, knowing how he has changed the club and how the team is playing right now compared to how the team was playing before.
"But if you don’t win, people are always going to create a problem."
The 35-year-old, who has also played for Barcelona since leaving north London, returned to the Emirates Stadium on loan last year and was linked with another short-term move in January again this term.
That deal never materialised but the club's all-time leading goalscorer would "love" to return once more before the end of his career.
"All I know is that I will be involved in the game and hopefully be involved with Arsenal, because that is the heart talking there, that’s the team I support," he added.
"Forget about me as a player, that’s the team I support. If I can go back to the club, I would love to do it, but it’s not up to me.
"It’s more a desire than something that can be officialised. I still have two years playing here [in New York] and then I will see. But I would definitely love to be back with Arsenal."