A portion of the blame should definitely lie at Wenger's door, this is not the first time he has faced a struggle to keep one of his best players and it certainly won't be the last, it's a by-product of being unsuccessful and we have to accept that.
We talk about how the players loyalty might lie with Wenger rather than the club, well it's neither, their loyalty is to themselves.
The whole situation is systematic of modern day football and I guess that is where the problem lies.