I think the problem with most Arsenal fans is that they got used to winning things pre 2005 on what now, is a shoestring budget. Because they were winning, and doing well in Europe, they could attract some top players to keep the cycle going. But since Abramovich took over Chelsea in 2003, and more recently Man City having a transfer budget that matches many countries GDP, winning became all about the money, and Arsenal simply don't have a few oil fields tucked away to use as a piggy bank.
The only team that seem to have bucked the trend somewhat is Man U who clearly can still compete, domestically at least. But then they have the 'Fergie Factor' which is their biggest asset, as well as a huge fan base around the world which used to make them money, pre Glaziers. However, I think we saw last season, in Europe especially, that the Fergie Factor may not be enough. When they sold Ronaldo, at the time the world's best player, questions were asked who'd replace him, and clearly no one has, with Man U's midfield looking more shaky by the season