On-loan Chelsea striker Daniel Sturridge gave the hosts a 38th-minute lead and, although Kevin Davies' missed penalty was swiftly followed by Robin van Persie's equaliser, Bolton kept fighting and were rewarded by Tamir Cohen's late winner.
Sunday's defeat followed draws with Liverpool and Tottenham in games where Arsenal had held seemingly decisive leads, and Wenger said of their title hopes: "The chances are very minimal now, that is for sure, but we have to continue to fight.
"We dropped too many points. It is very frustrating because we should have come home with nine points this week and we came back with two. It's a bit the story of our season."
Arsenal have been criticised for not showing enough mental strength but Wenger again defended his players and took responsibility for what is set to be a sixth season without silverware.
The Frenchman added: "I feel the players have had an outstanding attitude this season. They are not to blame. If somebody is to blame, it's me. I pick the team."
Source: PA
Source: PA