The 49-year-old also called for more focus to be placed on Arsenal's shortcomings in other areas rather than just the form of their goalkeeper.
Maciej Szczesny told the newspaper: "He made a mistake for the first (Southampton) goal, coming too far from the goal, but please look at the Arsenal defence - how these guys are playing is a disaster, but for some reason, nobody pays any attention to it.
"Laurent Koscielny should immediately have run (back) to protect Wojciech, and Per Mertesacker should have stood in the goal.
"Unfortunately they did not do that and gave him zero support, and in that situation Mertesacker showed the agility of a rhinoceros.
"Wojciech is often paying for it (the mistakes), and that he really cares. He needs someone who will critically analyse every game with him, but also remain positive.
"Someone should support him, but the coaching staff at Arsenal are not doing that, meanwhile the entire defence this season is an embarrassment."
Wenger is expected to step up efforts to bring in some much-needed defensive cover as the January transfer window continues.
St Etienne captain Loic Perrin is one reported target, along with Villarreal defender Gabriel Paulista. Arsenal's Costa Rica forward Joel Campbell could be sent to Spain on loan as a makeweight for the Brazilian, who would require a work permit ahead of any potential move to England.
Elsewhere, negotiations continue with Legia Warsaw over a proposed £2million move for teenage midfielder Krystian Bielik, while forward Yaya Sanogo is expected to go out on loan, with Bordeaux keen to take him back to Franc