The Gunners were themselves sitting at the summit at the turn of the year but Wenger has seen his side win just one Barclays Premier League game in 2016 - with Saints goalkeeper Fraser Forster putting in a superb display to further frustrate the Arsenal boss.
The hosts had 11 shots on target but have now dropped nine points from their last four games, slipping to fourth in the table and five points behind leaders Leicester.
Forster was in inspired form as he kept a fourth consecutive clean sheet following his return from a serious knee injury, with the England international saving well from Mesut Ozil, Alexis Sanchez and Olivier Giroud amongst others.
Several reports after the game suggested Wenger was involved in a spat with both referee Lee Mason and Southampton counterpart in the tunnel.
The Frenchman conceded later on that his side need to find their form of late 2015 to get back in the title race, with only a 4-0 reverse at Southampton on Boxing Day blotting their copy book before Christmas.
"We'll see at the end of the season
It's too early to say that," he said when asked if he was worried that Arsenal were starting to tail off.
"It's true that we've had a stuttering start in 2016
Our January was bad, starting from the last minute at Liverpool, and then at Stoke
Where we especially have a big deficit is in our two home games.
"We have to catch that back and we have a difficult programme, especially away from home
We need to respond quickly away from home now."
Having added only midfielder Mohamed Elneny to his ranks in the January transfer window, Wenger was again forced to defend his decision not to bring in any firepower in attack.
"If you knew a world-class striker who could have strengthened our team, you should have told me before the transfer deadline was over," he replied when asked if he should have signed a forward.
"They do not walk in the street and say 'please, here is a world-class striker, can you take me?' They are all at big clubs and are under contract.
"There were none available
If tonight we think a miracle man could have scored the goal for us, I think it's better we think how can we score the goals with the players we have? We can score goals, we have shown that before."
Wenger may have not had his miracle goalscorer but Saints boss Ronald Koeman hailed his shot-stopper Forster as a "magic man".
"Not in one and a half years managing Southampton has a team created what Arsenal created in opportunities today," he said.
"You need to be lucky, first, and you need to have a goalkeeper who is saving everything.
"Arsenal are so good defensively with a lot of creativity and that's difficult then, of course, you need a keeper that's magic and he is magic tonight.
"He is with the national team and he is one of the best goalkeepers in the Premier League and maybe in Europe."
Source : PA