The Gunners sit third in the Premier League, have reached the Round of 16 in the Champions League and are in line to claim a potential third successive FA Cup triumph.
However, despite the team's positive results this term, Wenger remains increasingly likely to end his long-term tenure as boss on a whimper, with supporters unhappy with the club's domestic form.
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"It’s never enough,” Wenger told reporters ahead of Arsenal's FA Cup quarter-final tie with Watford. “As long as you don’t win everything, it’s never enough.
“When we didn’t win anything, they said, ‘You didn’t even win the FA Cup’. People always wants more.
“But, if you look at the history of Arsenal, we are a club who’s won the cup more than anybody else. We’ve won it 12 times. And I have won it six times with my team.”
Wenger understands the expectations of modern day supporters and says he will continue to strive for success in all competitions.
He added: “We have to live with exaggerations and I can do that.
“I have an affinity with Wembley. When you are at Wembley and you see the crowd coming in red and white – it’s a special day in English culture.
“Wembley has a special resonance.”