"No. Not at all".
"Everybody was deeply disappointed, but there was no incident in the dressing room".
But when his most loyal supporters such as former goalkeeping coach Bob Wilson and the man between the posts during Arsenal's 1970/1 "Double" season, say even Wenger "can only take so much", perhaps the writing is on more than just a sticker.
The Gunners boss' weekly press conference, nominally to publicise Monday's FA Cup trip to Sutton, was dominated by questions on his future and the Frenchman stuck to his customary line that nothing is yet decided.
Arjen Robben fired Bayern into the lead, but Arsenal fought back and equalised when Alexis Sanchez followed up and finished his own saved penalty. It becomes a very important game - but it always was in my head.
Manuel Neuer had suggested earlier that Arsenal were nearly too fearless on the ball - "a team who wants to play" - and that Bayern could "take advantage of these spaces".
Arsenal were a little late getting to Bayern Munich's Allianz Arena on the eve of their last 16 first-leg tie.
Sanchez scored Arsenal's only goal during their 5-1 humiliation at the hands of Bayern Munich on Wednesday and his fellow countrymen and women are sick of seeing the 28-year-old give his all for the Arsenal cause only for his teammates to let him down. I can't ever say I'd like to see him go; he's nearly my football father.
"All the rest of it is judgement and I am in a public job and I have to accept that". Everybody can have an opinion.
"I speak to the board but I don't want to speak about how they view my future", he said.
"We play at home so we want to put pressure on them from the very first minute". My future is not important, the team and Arsenal are important.
"We have to deal with the media and our job is to and analyse with clarity what happened (against Bayern)". Whether it is here or not, that is for sure. I hate defeat, I hate to lose games. I want to do extremely well for this club and I feel a big responsibility. The Bayern Munich result was hard to take but I have the strength and experience to handle it.
The event, which has seen nearly 7,000 Sanchez fans sign up to march through the Chilean capital of Santiago, comes in wake of the Gunners' 5-1 drubbing at the hands of Bayern Munich in the Champions League.