With his side trailing 2-0 from the first leg, Wenger’s words — expressed more in hope than with any conviction — summed up how slender Arsenal’s chances are of progressing into the next round.
And, with the Gunners also eight points adrift in the Premier League title race, the club’s last, realistic chance of silverware has now gone.
Second-half goals from Odion Ighalo and Adlene Guedioura secured Watford’s deserved victory, with Quique Sanchez Flores’ side standing firm in the face of late pressure sparked by Danny Welbeck’s 88th-minute reply.
It will be the newly promoted side that heads to Wembley for the semi-final, having ended Arsenal’s two-season domination of the competition.
The brace of cups had strengthened Wenger’s claim his side was moving in the right direction and silenced the voices of those who believe the manager should step aside.
Those voices will inevitably now grow louder, particularly if the Barcelona tie pans out as expected, and Arsenal falter in Saturday’s league trip to Everton.
This display highlighted many of the side’s recent failings, while showcasing the strengths that have made Watford one of the surprises of this season. Arsenal dominated possession for long periods, but were guilty of missing too many chances, while they lacked the defensive substance to block Watford’s incisive breaks.
Wenger insisted his side deserved more, a view that was not universally shared.
“Our long run in the FA Cup has come to an end in a very sad way, because I don’t think we deserve to lose this game,” he said.
“We have to look at ourselves for the first goal; the second goal was a fantastic shot.
“I felt it was a real cup game; they defended well and took their chances on the break. The few ones they had.
“We had enough technical superiority to win the game and to score goals.”
He added: “It is very difficult against Barcelona, but we have to see it as a challenge and try to make the impossible possible.”
It could have been worse for Arsenal, had Gabriel, at fault for Ighalo’s opening goal, been dismissed for a crude challenge on Troy Deeney, in the first half.
The defender escaped and, having booked a first-ever trip to Wembley, Flores was keen to focus on the positive elements in his side’s success.
“This is the most important game of my career,” said the manager, who won the Europa League with Benfica.
“We are Watford, and we will try to enjoy this journey, this experience.
“At the moment, we have confirmed we will play in the semi-finals in Wembley and it’s amazing for the people of Watford, the fans, the club, the players. It’s an impetus for the last part of the season.
“I have memories, on television, of the old Wembley and watching in Spain and seeing the finals of this competition.
“Now, it is a new Wembley, I’ve just arrived in England, and to get there is exciting.
“I’m really happy for the fans and they deserve this kind of day.”
Watford survived first-half pressure, profiting from two misses by Mohamed Elneny, the Arsenal midfielder, before taking the lead in the 50th minute, when Ighalo easily rolled Gabriel, before poking the ball past David Ospina, from close range.
Guedioura scored a superb second goal eleven minutes later, arrowing a rising drive into the top corner, after being set up by Deeney, moments after Olivier Giroud had missed another chance for the hosts.
Welbeck gave Arsenal hope two minutes from time, when he linked well with Mesut Ozil, before finishing, but could not repeat the act moments later. He shot wide in front of an open goal.
“I’m still trying to understand why we didn’t score,” said Wenger.
“I want to watch it again, but it was a typical cup game, against a team that comes and fights and takes their chances and us trying to score. It was just like that. There’s nothing more to say.”
Ospina 6; Chambers 6, Mertesacker 5, Gabriel 5, GIBBS 7; Elneny 5 (Iwobi 68,6), Coquelin 5; Campbell 6 (Welbeck 68), Ozil 6, Sanchez 6; Giroud 5 (Walcott 68,6).
Macey, Monreal, Flamini, Bellerin.
Pantilimon 6; Nyom 6, Prodl 7, Cathcart 8, Ake 8; Watson 7; Guedioura 7 (Abdi 77, 6), Behrami 8, Capoue 6 (Anya 73), DEENEY 9; Ighalo 7 (Amrabat 82).
Gomes, Suarez, Jurado, Oulare.
Andre Marriner 5