Wenger's side had never before lost their opening two Champions League games, but they have imploded twice against Dinamo Zagreb and now Olympiakos to leave their Group F campaign in turmoil.
And it is Wenger's curious decision to make a host of changes for both European fixtures that has played a major role in the defeats which leave Arsenal in danger of failing to qualify for the knockout stages for the first time in 16 years.
After making six changes for the loss in Zagreb earlier this month, Wenger threw caution to the wind again and made another five alterations for Olympiakos's visit to the Emirates Stadium on Tuesday.
Crucially, he opted to leave Petr Cech on the bench and select David Ospina in goal instead and the move went spectacularly wrong as the Colombian's horrendous howler gifted the Greek club their second goal.
Yet Wenger remained defiant when asked if he regretted his failure to send out his strongest team.
"I make the decisions, I pick the team and I'm responsible for it," Wenger said.
"I know many things that maybe you don't know and you ignore.
"You can't select the team by making a poll before the game."
Pressed on why he had decided he could do without the experience of former Chelsea star Cech, an increasingly tetchy Wenger refused to accept he had blundered.
"I don't give you why. I don't have to sit here and give you explanations about every decision I make," he said.
"Cech had a slight (injury) alert before the Leicester game and I didn't want to take a gamble.
"It's not because of that we lost the game.
"Ospina payed 19 games and kept many clean-sheets. Last week at Tottenham he had a fantastic game.
"It (the mistake) could have happened to Cech as well."
With back to back fixtures against group leaders Bayern Munich coming next, Wenger's team could be eliminated by early November.
But the Gunners boss is convinced they can still nick a win against the Germans and find a way to sneak through.
"It leaves us in a bad positon but we are still in it," Wenger said.
"We have to think we can deal with Zagreb and Olympiakos and we have to make a result in our next game against Bayern at home. We are not out of it."
Felipe Pardo opened the scoring before Theo Walcott equalised.
Then Ospina's own goal was followed by an Alexis Sanchez equaliser and just 59 seconds later substitute Alfred Finnbogason bagged the winner.
Even by Arsenal's sloppy defensive standards, this was a new low for Wenger's men, but he was adamant it wasn't the worse European result of his reign.
"No. If you sit on the bench and lose in the Champions League final you will have the answer," he said.
"I believe some aspects of our game were quite good but we lacked quality in our defensive concentration.
"We had a bit of bad luck as well. They had four shots on targets and scored three goals. That happens once in 100 games in the Champions League.
"We had 65 percent possession but we feel guilty because we gave easy goals away."
While Wenger cut a frustrated figure, Olympiakos boss Marco Silva was understandably revelling in his club's first ever win in England after 12 consecutive defeats.
"I can't hide that I'm very satisfied. It's something historical for us after all these games and all these losses," he said.
"Any team that wins here has to know how to suffer and put up with the pressure. That is one of the key features.
"We had to resist and to run a lot when Arsenal are trying to tire you.
"It was important never to be scared and we never stopped believing we could win."
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