Maybe the board is satisfied with finishing 2nd/3rd/4th that's why Wenger has been at the helm for a long time. Of course it would be nice to win something but because it seems like Wenger is doing something productive (making unknown players/youngsters into household names) the board won't sack him.
Take a look at Liverpool for example, they've bought so many players over the past few years and it hasn't worked to their advantage as much. Liverpool are either hot or cold.
Arsenal are either hot or.... warm. Warm being the 2nd/3rd/4th place finishes in the league and hot being the football we play on the pitch.