Gunners supporters were up in arms when manager Wenger replaced star man Oxlade-Chamberlain with the increasingly unpopular Andrey Arshavin for the final 16 minutes of the 2-1 defeat to Manchester United at Emirates Stadium.
Even captain Robin van Persie appeared to disagree with the decision, with the striker pictured seemingly saying the word "no" as the change was being made.
That dissent looked to be justified when Arshavin's limp attempt to stop Antonio Valencia led to United's winning goal, raising serious questions about Wenger's judgment.
The sheer rage directed at the decision was also as much about six-and-a-half years of agonising failure for Arsenal as it was about the matter at hand.
Goalkeeper Szczesny was therefore understandably cautious about condemning supporters.
"I don't want to say something that I shouldn't be saying," he said.
"They're entitled to their opinion and they show it in the way they do. That's fine with me."
That atmosphere hardly lifted at the final whistle, which signalled a third successive Premier League defeat for Arsenal who are now five points adrift of the top four.
"There's a lot of pressure," Szczesny said.
"Obviously, fans expect us to do better than what we've been doing.
"All we can do is work hard, which we have been doing, and I'm positive the results will come sooner rather than later."
Wenger has declared it would be a "disaster" if Arsenal failed to qualify for the Champions League and Szczesny was not about to argue with his manager.
"This club should be in the Champions League, year in, year out," he said.
"So I understand the manager's point, absolutely.
"I'm confident we will pick ourselves up, we'll win games and we'll get our position in the Champions League. So I'm not worried. I'm disappointed, obviously, but I'm still confident we can do it."
That looks to be wishful thinking if Wenger makes many more substitution blunders, while his refusal to sign recognised full-backs to cover those currently injured becomes more costly by the game.
Szczesny batted away questions about Arsenal's makeshift defence, saying: "All the players that came in, they did well for us.
"They're doing their job as well as they can and that's all you can ask for."
Yet, he also admitted the return of Bacary Sagna and Kieran Gibbs would be a huge boost.
"They're very important players for us and if you can have them back in the team as soon as possible, it will give us a lot of confidence and hopefully it will help us to get the results that this club deserves," he said.
Szczesny struggled to think of any positives from Sunday's game but there were at least two in the shape of Oxlade-Chamberlain and captain Van Persie.
He said of the former: "He did what you expect Alex to do.
"He runs past people, he puts good crosses in, I think he actually had an assist for the goal, didn't he?
"He was very positive and I'm sure that it's a moment he will remember."
He added: "Robin is a great player. I've said it a lot of times before, I think he's the best player in the Premier League at the moment.
"Listen, we are disappointed. But we're still confident we have the quality. And it's not only Robin van Persie. I think the whole team is good enough to go on and finish in the top four.
"Having a leader like this - because he's a great skipper - helps the team. It makes us confident that we can score in every single game.
"Hopefully, we can deal with all the pressure that's around us at the moment and live up to the expectations because these fans and this club deserve better results than it is has got in the last few weeks."
