Before an Arsenal side close to full strength had been humiliatingly defeated on penalties by Bradford City on Tuesday, Wenger complained that the dressing room facilities were not what his team were accustomed to.
Arsenal then played like a team who did not fancy any aspect of a freezing midweek night in the north of England against committed opponents who fully deserved their victory after the sides were locked at 1-1 following extra time.
Asked afterwards if he was embarrassed on an evening when his team, who with the exception of Santi Cazorla and Jack Wilshere created pretty patterns but failed to generate any real urgency or penetration, Wenger apparently saw no fault with his players.
"You feel embarrassed when you don't give everything. I feel the team did fight and will be more disappointed and frustrated," he told Sky Sports.
"I cannot fault the effort. We have put the effort in (and) have given absolutely everything until the last minute. It was a typical English Cup game and Bradford got on top of us in the end. We missed three penalties - that's a lot to take."
English bookmakers reacted with a far less charitable verdict, giving odds of 4/1 that Wenger will be the next Premier League manager to lose his job. William Hill quoted odds of 4/6 that Arsenal, who have not won a trophy since the 2005 FA Cup, will not win another under Wenger.
Wenger, who a decade ago used the League Cup as a proving ground for his seemingly unlimited pool of youthful talent, took advantage of playing their next league game on Monday to play eight of the team who beat West Bromwich Albion last Saturday.
They still could not defeat a Yorkshire side who have tumbled down the divisions and his team's glaring deficiencies will add to the fans' frustrations and a growing belief that the Wenger model has finally broken.
Wenger, in charge of the north London club for the past 16 years, possesses admirable but ultimately incompatible obsessions.
A commitment to attacking football at all costs has made Arsenal irresistible at their best and always consistently entertaining. But flawed defence, particularly in the air, persist and the appointment of former defender Steve Bould as Wenger's assistant appears to have made no difference.
Wenger also has a commendable commitment to balancing the books, spending less on buying players than the club makes on sales. However, the result has been a steady exodus of the club's best performers, including Cesc Fabregas and Robin van Persie, with Theo Walcott set to become the sixth first team regular to leave in less than two years.
The 23-year-old England winger, who is out of contract at the end of the season, has rejected a new five-year deal with the club.
Wenger still guided Arsenal to the knockout stages of the Champions League for the 13th successive time this season but that is likely to be the summit of their ambitions in Europe.
They lie seventh in the Premier League and face a third-round trip to Swansea City in the FA Cup. Swansea recently defeated Arsenal 2-0 at the Emirates in the Premier League, a result which enraged sections of the Arsenal faithful.
After Tuesday's loss, not only the fans will be questioning the future of the man who has brought three Premier League titles to the club accompanied by a revolution in style.