Arsenal won four and lost just one of their six Premier League games last month, but that defeat at Stoke led to a barracking from a small group of fans as he boarded a train back to London.
Wenger’s rivals for the award are Jose Mourinho, Louis van Gaal and Manuel Pellegrini, whose Manchester City side dropped just two points in six games.
Chelsea’s record was the same as Arsenal’s and United’s under Van Gaal was marginally better – four wins and two draws.
There are six nominees for the Player of the Month award, among them England hopefuls Harry Kane and Charlie Austin.
QPR striker Austin’s five goals included a hat-trick against West Brom, while Kane scored three times in the league for Tottenham.
Chelsea’s Eden Hazard and John Terry are both on the shortlist along with Arsenal midfielder Santi Cazorla and David Silva of Manchester City.
The winners will be announced later this morning.