Arsène Wenger's turbulent season suffered fresh embarrassment as Arsenal were knocked out of the Capital One Cup quarter-finals by Bradford City of League Two. The Arsenal manager picked almost a full-strength side to enhance the club's prospects of a first trophy for seven years but they departed the competition after a penalty shootout.

Thomas Vermaelen missed the final kick of the shootout to send Phil Parkinson's team, who are 64 places beneath Arsenal in English football's pyramid, through to the last four. Bradford held their nerve to win a ninth successive penalty shootout in all competitions. Vermaelen had earlier denied Bradford victory in normal time with an 88th-minute equaliser to cancel out a fine openinggoal from the former Morecambe and Scunthorpe United midfielder Garry Thompson.

The defeat will increase the pressure on Wenger as he continues to insist that Arsenal's financial prudence will eventually reap dividends at Emirates Stadium. Arsenal's impressive travelling support sang Wenger's name in response to taunts of "You're getting sacked in the morning" from the Bradford fans following Thompson's volley. But with Arsenal seventh in the Premier League, and his team failing to force the Bradford goalkeeper Matt Duke into a save until the 70th minute, Wenger was again left on the defensive. He denied Arsenal's players had cause to be embarrassed by their cup exit.

"You feel embarrassed when you don't give everything but the team did give everything," said the Arsenal manager. "It is disappointing but congratulations to Bradford, they defended well.

"They started stronger than us but in the second half and extra-time we dominated but couldn't convert our chances. It was difficult to create chances. Bradford defended well."

Wenger selected eight of the side who had started the win over West Bromwich Albion in the Premier League on Saturday but they failed to create clear chances until extra-time and were suspect defensively. Vermaelen in particular struggled until reprieving Arsenal in normal time.

The Arsenal manager added: "It was a typical English cup tie. We had many good chances but couldn't convert them. When you go out like this it's never good enough, but you have to give credit to Bradford. It's not down to a lack of quality, we just couldn't convert our chances. We missed three penalties and that is a lot to take. But we gave a lot. Now we must focus on the next game. I can't fault the team's effort. I believe we gave everything for 120 minutes. It is difficult when you have to make the whole game. We had five strikers on the pitch effectively, but couldn't score."

Asked if the loss represented the biggest cup shock of his tenure as Arsenal manager, Wenger replied: "I know people will say it is a division four side but a cup tie is a cup tie and there is always a chance. We put ourselves in a difficult situation by going 1-0 down."

For the Bradford manager, Phil Parkinson, who is awaiting the outcome of an appeal over whether his team should be eliminated from the FA Cup for fielding an ineligible player, the result represented a historic moment for a club who have plummeted through the leagues over the past decade. "It is a great night, especially with all the exposure we have had. We wanted to show a wider audience that we are a decent side and we produced our best. It is a great night for Bradford.

"To be honest, I don't want to talk about the penalties because it was the performance that was more impressive. Arsenal played their best team, Arsène Wenger showed us a lot of respect, and we were three minutes from beating them in normal time.

"Then, in extra-time, we lost players to injury, but we kept going. The real story is how we performed over 120 minutes. I was surprised when I saw the Arsenal team-sheet. I knew Arsène was going to play a strong team but I was surprised at how strong it was. I think that put more pressure on them because he played his cards from the start."