Chelsea face Napoli on Wednesday after being down 3-1 from the first leg and face an uphill battle in becoming the only English representative in the quarter-finals of the Champions League this season.
Should the Stamford Bridge outfit fail to qualify than it would be the first time in 16 years that England would not have a representative in the quarter-finals.
Arsenal were knocked out by AC Milan last week despite a strong performance in the home leg that saw three goals scored within the first half. Wenger believes that the fate of the Manchester clubs and Chelsea shows that European clubs have become stronger in the recent past.
Therefore, even a fourth-place finish could prove dangerous as Arsenal would then have to take part in the qualifying stages of next season's Champions League and the matches can no longer be taken lightly and considered as a formality as English clubs often did in the past.
"Of course [it is a wake-up call] - if you look at the results of Man City and Man United at home this season, you would think that they were the two teams who would manage to go through easily. It is difficult," Wenger told the club side.
"For any English team it is difficult [if you finish fourth]. Where before it was just a formality to qualify, now it is not.
"With Udinese we had two hard games, they are a top team in Serie A."
He also believes that because clubs in the Premier League have shown greater spirit this season, the traditional heavyweights have been worn out and unable to cope during matches in the season.
"We played on Sunday against Tottenham and it was a massive game for us. Then all of the players go away and they play on Wednesday night in their countries," he said.
"Then they come back on the Friday and you go to Liverpool on Saturday morning. Then on Tuesday night you play a decisive game in Europe. To survive with that is very difficult.
"Maybe because in England every championship game is a complete commitment, we suffer a bit more in the decisive Champions League games."
Nevertheless, he is happy with the competition up on offer in the Premier League and he wants his squad to focus more in coming seasons in order to better handle the heavy workload.
"[When] they made it only 25 players in a squad, it was detrimental to the quality. It creates a lot of jobless people, it stops clubs taking a gamble that could sometimes be a help and I felt that was a very bad decision.
"I would not like to see the responsibility shifted somewhere else, though. We are in the clubs and we have to fight with it.
"When it goes well it goes well, this season did not go well. Maybe the clubs have to up the quality of their game."