This is what you need:
http://www.arsenalreport.com/transfercentre/
Lists all our transfer spend back to 96-97.
In summary:
Emirates Era ~ Total £27,836,200
2011/2012 £12,388,200
2010/2011
-£8,914,000
2009/2010 £28,020,000
2008/2009
-£20,832,000
2007/2008 £17,640,000
2006/2007
-£466,000
Highbury Era ~ Total -£37,627,000
2005/2006 £395,000
2004/2005
-£3,936,000
2003/2004
-£15,046,000
2002/2003 -£2,210,000
2001/2002
-£18,976,000
2000/2001 £3,400,000
1999/2000 £8,630,000
1998/1999
-£9,780,000
1997/1998
-£1,064,000
1996/1997 £960,000
In short, yes we have made losses under Wenger, and no this has never been the case.