Wenger's side hit a new low on a chastening evening in south London as struggling Palace condemned the shambolic Gunners to their heaviest Premier League defeat of the season.
Wenger's side have lost four successive away league games for the first time in his 21-year reign as manager.
Goals from Andros Townsend, Yohan Cabaye and Luka Milivojevic gave Palace their first home win over Arsenal since 1979 and left Wenger in turmoil after his team's fifth defeat in their last eight league games.
Instead, they berated Bellerin and his team-mates with chants of "you're not fit to wear the shirt", with the Spaniard having to be consoled by Alex Oxlade-Chamberlain when he was jeered again at the final whistle.
Wenger and his squad were targeted for more abuse when they made their way from the dressing room to the team bus. Arsenal's shocking surrender leaves them in sixth place, lagging seven points behind fourth placed Manchester City.
"I want the fans to support the team, but I can understand they are extremely frustrated, like we all are," Wenger said.
"We came with the desire to win the game, but in the decisive moments of the game Palace were sharper. To see us lose in that way is disappointing. It's part of my job to build the confidence. We have a week to do it. It's our job. we will try to do it."
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Faced with the prospect of missing out on the Champions League for the first time since 1997, Wenger has hardly helped his cause by refusing to confirm if he will sign an extension to the contract which runs out at the end of the season.
The uncertainty over his future has been a major distraction for a team lacking the fighting spirit required to cope with adversity.
Wenger conceded Arsenal's chances of making the Champions League via a top-four finish look bleak, but he refused to be drawn on whether or not he will stay.
Looking shell-shocked and far less defiant than he often is at such downbeat moments, Wenger must have been devastated by the way the likes of Alexis Sanchez, Mesut Ozil and Theo Walcott went missing when he needed them most.
Arsenal legend Ian Wright claimed Wenger has lost the support of his players and even the Gunners boss admitted Palace had shown more passion.
"After that it was more difficult. "I don't say the players gave up. For a long time we were unbeaten away but since we lost a few we don't have the confidence. "You could sense it had an impact on us after the second goal."\
Palace moved six points clear of the bottom three and boss Sam Allardyce hailed a magical 10 days that also included a win at leaders Chelsea.
"One or two more results and we should be safe, but it's a massive night for everybody, and a huge week for us all," he said.
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