Arsenal's inability to challenge for the Premier League title despite the quality of their squad continues to wear on Alexis Sanchez, he admitted.
The Gunners are in danger of missing out on a place in the Champions League next season as they sit a point behind Liverpool, who occupy the final qualification spot, ahead of the last game of the season.
It has been quite the drop for Wenger's side, who looked close to challenging for the Premier League crown in December, and Chile international Alexis insists they are capable of much better.
"Sometimes when I look at the team we have and the players here... because when it comes to winning the Premier League we often lose or draw against teams at home when we are superior," he told Sky Sports.
"Sometimes the frustration more than anything is about the fact we could be challenging for the Premier League title.
"I've always said we have great players here, it's just about having the mentality of being a great player and going out on to the pitch already thinking about winning.
"That's what we've done in the last three games. We had the mentality to win at all costs and we won and we won well."
Although a spot in Europe's most prestigious club competition could be beyond them, Arsenal can still win the FA Cup when they take on Chelsea in the final at Wembley Stadium.
However, that one title may not be enough to make this campaign a successful one, according to an attacker who won La Liga and the Club World Cup with Barcelona as well as two Copa America titles.
"I don't know whether it would be successful or not, but I think it would be positive to beat Chelsea in the FA Cup final," he added. "I think the players have the desire and mentality."
The 28-year-old is Arsenal's top goalscorer in the English top flight this season, scoring 23 goals and adding 10 assists in his 37 appearances.