Arsenal exited the competition with barely a whimper, trounced 10-2 on aggregate in the last 16 by Bayern Munich, who eased to a 5-1 victory against their 10-man opponents.
The Londoners led 1-0 at half-time through Theo Walcott but it all turned sour when Laurent Koscielny was sent off nine minutes after the break as Bayern piled on five unanswered goals at the Emirates Stadium to reach the quarter-finals.
Tuesday's rout only added fuel to the fire and increased the pressure on Wenger, who is out of contract at the end of the season, but Spain international full-back Bellerin wants the Frenchman to continue in 2017-18.
"The whole team is behind the manager. He's the one who has made the team work," said Bellerin, who was lured from Barcelona as a teenager by Wenger in 2011.
"In football, sometimes you're high and sometimes you experience lows. Now is a low point for us but we only have to look at ourselves to do something.
"With the help of everyone, we can make it through. We need to just forget tonight [Tuesday], focus on the next game and a competition that the club usually does well in.
"We just need to go for it and try to finish the season well."
Asked if he wants Wenger to remain next season, Bellerin replied: "Of course. It's as simple as that, especially for me. He's the one who gave me my chance since day one.
"He's played a big part in making me the player that I am, and there are loads of players in the dressing room who will be in the same position as me. We all back him and of course we want him to stay."