Here are his latest words of wisdom:
'The criticism has been sharper this year because of the impatience of people,' Wenger told Arsenal TV Online.
'People are used to us being in the Champions League so we have to give them more, but we're not capable of doing that.
'People love what we do but they want us to be rewarded so that they can be convinced we do things the right way. They want proof that we do things the right way.
'For our fans the frustration was that we were so close to convincing everybody of how football can be great, but in the end not being able to deliver.
'I would call it disappointed love. It was cruel and sometimes you get excessive responses to that. I share that and understand it.
'But that doesn't mean we have to change our philosophy or the way the club is run.
'We get it 95 per cent right, but we must gain that five per cent because it's so frustrating to flirt with success like we have done.
'The fans are unhappy that we didn't win the Premier League, but we are close.
'In 2003 we were also the best away team, but didn't win. We kept going and in 2004 we were very strong.'
Wenger pinpoints Arsenal's run of two points from three games in late April as the end of their title challenge.
'I was happy with the attitude of the players and our away form,' he said.
'But what was disappointing was that when we needed to push on, we could not show the nerves to deal well with some games.
'I'm thinking about Liverpool, Tottenham and Bolton. We had good opportunities to win those games and had we done, that would have been seven points more.'
Arsenal conceded 41 goals in the Premier League with the set piece their Achilles heel, prompting Wenger to target some taller players in the transfer market this summer.
'We conceded very few goals from open play, most of them were from set pieces in a way you don't want to concede goals,' he said.
'It's something that's easy to correct. We need to improve the size of our squad. We need a bigger variety in the height of our players.
'We need to be more capable of fighting against some characteristics than we have been this season.'