With their bid to become the first club since Blackburn Rovers in the 1880s to win three successive FA Cups over, Arsenal now face holders Barcelona in the Champions League on Wednesday trying to overhaul a 2-0 first leg deficit and avoid a sixth consecutive last 16 exit.
"The next game is always 'a big challenge' and you are always in 'the middle of a drama'. It is becoming a farce. We have lost a game," Wenger told reporters after the Watford defeat.
"We are sad and we want to focus on the next game, but Arsenal has lost games before in history and we will lose again in the future. We will stick together and cope with it and prepare for the next one with complete belief.
"What is going on at the moment is very, very difficult to take for the players, but judge us at the end of the season. We have come to the end of a very, very long run in the FA Cup, so it is very sad, but we want now to focus on the next game."
(Reporting by Shravanth Vijayakumar in Bengaluru. Editing by Patrick Johnston)
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