If Wenger finished 3rd in the CL group phase enough number of times to drop into the UEFA Cup/ Europe League, he would have surely won it - reached the final and semi final in 2 attempts, should have won both those ties.
We just kept qualifying for CL knockouts to eventually be beaten. I don't know even now if it would have actually been better to drop into the EL every now and then to have a crack at a European trophy rather than be knocked out by Barca/ Bayern.
