The 65-year-old, whose side are third in the Premier League, made the suggestion after Arsenal crashed out of the Champions League on Tuesday night despite a 2-0 victory over his former club Monaco.
Perhaps it would be better not to go out like this and make the Europa League
Olivier Giroud broke the deadlock before Aaron Ramsey scored the away side’s second, however, Arsenal were unable to find a third goal which would have overturned their 3-1 first-leg deficit at The Emirates.
Arsenal have failed to get past the last-16 stage of the competition in the past five seasons, and Gunners manager Wenger remarked that Arsenal would have more of a chance of winning the Europa League than Champions League.
Asked if he was disappointed with Arsenal’s last-16 exits, Wenger is quoted as saying by Daily Mail: “Yes, but sometimes we have been beaten by opponents who were in the final.
“Perhaps it would be better not to go out like this and make the Europa League, we would be more likely to win.”
Arsenal make the long trip to Newcastle United in the Premier League on Saturday as the north London side look to stay ahead of top-four rivals Manchester United, Liverpool, Southampton and Tottenham Hotspur.
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