The Arsenal manager insisted at the beginning of the new campaign, that he was satisfied with a fourth place finish in the Premiership, as it was equivalent to winning a cup.
However, as his side prepares to travel to Swansea for their FA Cup third round clash, Wenger is singing a different tune.
“Of course it bothers me because I am not here to watch other people win trophies,” Wenger said. “It is important and I will give my best to win on Sunday. I will just remind you that I have won the FA Cup four times.
“Of course that [reminders of a trophy drought] is not pleasant, but the only way to do it is to win.”
The Frenchman also said that his team cannot afford to take Swansea likely, especially after they stunned them 2-0 at the Emirates last month.
“It is the first round (we play). You cannot speak about winning a trophy, so for us it is important to show continuity and consistency, and the FA Cup is part of that,” he said. “To get people to believe more in the team, it is important that we win on Sunday.
“It is an important moment of the season for us, for the team to strengthen the confidence of the team. We feel we are on a good run, but how far can we go? To win in the FA Cup will strengthen [our belief].
“They had a very good game here. We have to give them a different response on Sunday.”