The Gunners came back from 2-0 down to win 3-2 in extra time against Steve Bruce’s side in May of last year, and in doing so ended a nine year trophy drought.
Wenger has been under some intense pressure over the last 12 months, and failure to end that drought led many to believe he would quit the club he has managed since 1996.
However the Frenchman insists he would not have walked away.
Wenger, 65, said: “To walk where? Walk away, no. Look, I have just won my 600th game out of 1000. That means I have won 60 per cent of the games.
“After 18 years, it would not be serious to walk away for losing one game. I do my job as well as I can and I respect my contracts always.”
Wenger finds himself under pressure just seven months later however, with the Gunners having fallen out of the title race early season.
And the Frenchman admits he may well have to win the FA Cup again in order to appease frustrated supporters.
“Of course it is important. We want another cup run and we want to, if possible, keep the trophy,” he said.
“We won it five times in my period and that means we give it the importance it has. It was nice to see our fans happy and shows you how big the club is when you win and when you don’t win as well but when you don’t win they cannot turn up happy.
“But we have a big job to do on Sunday and to come back in the Premier League and then we have the Champions League. What is for sure is we have room for improvement and we have to manage to do that quickly.”