Arsenal's quest for a first trophy since 2005 suffered another blow when they were beaten on penalties by npower League Two Bradford at Valley Parade in the quarter-finals of the Capital One Cup.
After guiding Arsenal to earlier great success, Wenger's plans to build a team capable of sustaining a challenge for honours were shattered by the departures of Samir Nasri, Cesc Fabregas, Robin van Persie and Alex Song.
In a wide-ranging interview with the January edition of Four Four Two magazine, conducted before the loss at Bradford, Wenger admits there will always be a sense of what might have been if the club had been able to retain their talent.
"My regret is that we already had a great team two or three years ago which could compete on four fronts," Wenger said.
"We just missed out in the Champions League [last 16 tie] against Barcelona, when we could have scored in the last minute, and then we just missed out on the Premier League too.
"But you could feel the potential was there, and I thought, `Okay, let's do this together'. Then the team split up, sometimes after five or six years' work, it is frustrating, you have to start all over again."
Wenger added: "We have lost recent players earlier in their careers - to lose Van Persie, Fabregas, Nasri and Song in just two years, it is a massive amount of potential, of course you worry."