Around 200 supporters marched ahead of the humiliating 5-1 defeat by Bayern Munich on Tuesday night, with fans imploring Wenger not to sign a new contract and leave at the end of the season, when his current deal expires.
The Gunners are experiencing a wretched run of form, losing five of their last seven games in all competitions, a sequence capped by a Bayern thrashing which saw the Bundesliga champions seal a 10-2 aggregate victory.
Having also fallen well off the pace in the Premier League title race, where Arsenal are now 16 points adrift of leaders Chelsea, Saturday's sixth-round FA Cup clash with non-league Lincoln could offer some respite for Wenger.
But before Saturday's game fans will once again demonstrate against his continued leadership after the 67-year-old said their feelings would play a part in whether he opts to stay at the Emirates.
Asked whether the fans' opinion of him will have any impact on the decision, he replied: "Yes. Of course, you consider everything.
"It will not be the most important factor but of course, you consider it.
"It is difficult for me to judge (the protest). I have worked very hard for 20 years to make our fans happy and when you lose the games, I understand they are not happy.
"I do not want to judge that, I am not able to. I live in my daily work with my complete commitment.
"I think I've shown since I'm here that first of all I love this club, that I'm loyal to this club and that I make the right decisions for this club."
Arsene Wenger's worst Arsenal defeats
Arsene Wenger's worst Arsenal defeats
1/8 AC Milan 4 Arsenal 0, Champions League last 16 first leg, 2012
Another last-16 elimination, and another example of the tie being over before the second leg. A Robinho brace and goals from Kevin Prince-Boating and Zlatan Ibrahimovic meant Milan took a hefty lead back to the Emirates. The Gunners won that 3-0 but it was too little, too late.
2/8 Manchester City 6 Arsenal 3, Premier League, 2013
Arsenal were top of the league at the time but were blown away by City to close the gap to three points. Slack defending cost them and even when Per Mertesacker headed in a late consolation goal to make it 5-3, Yaya Toure still had time to score a sixth.
3/8 Bayern Munich 5 Arsenal 1, Champions League Group Stage, 2015
Yes, remarkably, Tuesday night was is not even the second time Arsenal have lost 5-1 to Bayern. In last season’s Group Stage, Robert Lewandowski, David Alaba, Arjen Robben and two Thomas Muller goals saw to an embarrassing night for Wenger.
4/8 Liverpool 5 Arsenal 1, Premier League, 2014
Liverpool were rampant three years ago and stormed into a four goal lead inside the opening 20 minutes at Anfield, including two goals from centre-back Martin Skrtel. Raheem Sterling made it five with Mikel Arteta’s penalty a mere consolation.
5/8 Tottenham 5 Arsenal 1, League Cup semi-final second leg, 2008
A humiliating scoreline – made all the worse by it being against the Gunners’ most bitter rivals. The defeat cost them a place in the League Cup final as Nicklas Bendtner and Emmanuel Adebayor nearly violently clashed on the pitch.
6/8 Manchester United 6 Arsenal 1, Premier League, 2001
Dwight Yorke bagged a first-half hat-trick at Old Trafford as United raced into a 5-1 lead by the break. Teddy Sheringham added a late sixth as the Red Devils went 16 points clear at the top of the Premier League.
7/8 Chelsea 6 Arsenal 0, Premier League, 2014
Not the best way for Wenger to celebrate his 1000th game in charge of Arsenal. Chelsea were 3-0 up inside 17 minutes in a game which also saw Kieran Gibbs sent off in a case of mistaken identity with Alex Oxlade-Chamberlain.
8/8 Manchester United 8 Arsenal 2, Premier League, 2011
Wayne Rooney grabbed a hat-trick to help inflict Wenger’s biggest defeat as Arsenal boss. It was made all the worst as it was by a Manchester United team with a midfield of Tom Cleverley, Anderson, Nani and Ashley Young.
After Wenger's media duties, Arsenal chairman Sir Chips Keswick released a short statement on the club's official website, acknowledging the discontent of some supporters while insisting a hasty decision about Wenger's future would not be made.
"We are fully aware of the attention currently focused on the club and understand the debate," he said.
"We respect that fans are entitled to their different individual opinions but we will always run this great football club with its best long-term interests at heart.
"Arsene has a contract until the end of the season. Any decisions will be made by us mutually and communicated at the right time in the right way."
Meanwhile, Vanarama National League leaders Lincoln will look to take advantage of any discontent among the home fans, according to defender Luke Waterfall.
"He's under pressure," the 26-year-old said of Wenger.
"Some Arsenal fans might be going there wanting us to win. If we start well, we might have 60,000 people behind us, not just 9,000.
"We'll go there believing in ourselves. We won't park the bus, we'll play our usual game."