Something has to change though, surely? Although I guess this answer depends on what you want the club to achieve/success to be measured by.
Sometimes you have to go backwards to go forwards.
I honestly think it is a mental block for Arsenal, their player quality in the first team and squad is excellent, they just struggle to 'get over the line'.
Given the circumstances this season, Arsenal not taking advantage is hilarious and fully illustrative about the size of the mental fragility of the squad, club, coaching.
Wenger is a phenomenal manager, has raised Arsenal to a European power, and an excellent bastion of 'good' football within England and Europe. He has continued to bring the consistent European football and challenged for trophies.
While I totally get the frustration Arsenal fans have, firstly it is relative (similar to United fans coming to terms with the fact they have fallen from their lofty position) and secondly, be careful what you wish for and you just have to look at Manchester United post Sir Alex.