Former Gunners striker Wright said: "The first game was more upsetting than this.
"I thought the guys had a bit of a go. After the penalty decision it started to go against us.
"It's a sad day because we've gone out again at this stage. We're going through a period in our history that's the worst.
"With everything that's going on you have to say it will take some sort of monumental effort for Arsenal to turn it around in terms of the drive and determination of the players.
"It feels like something is coming to an end."