Arsenal manager Arsene Wenger suggested this season has been his toughest since taking over at the club in 1996.
The Gunners lost the Carling Cup final to Birmingham and were then knocked out of the Champions League and FA Cup.
Without a trophy since 2005, Arsenal are nine points behind Premier League leaders United, who they play on Sunday, with four games left.
"We feel more frustrated than ever because we are closer than ever to win this league," said Frenchman Wenger.
Arsenal, three points behind Chelsea and five ahead of fourth-place Manchester City having played a game more, host United at the Emirates Stadium.
"It is vital for us to show that we have some mental qualities and finish with a very strong fighting spirit," added Wenger.
"Manchester United are now in a very strong position, but we have to fight until the end of the last second of the championship.
"The title is very unlikely for us now - let's not hide the truth - but the pride of our group is to first of all finish in the Champions League places.
"We have to look back and we have to look in front because even if there is a minimal chance, we have to fight for it.
"We promised ourselves to fight until the last second of the season, no matter what happens. That is what we want to do now - and you never know."
After beating Stoke 1-0 on 23 February, Arsenal were three points behind United and still in contention for all four trophies.
But four days later they succumbed to Birmingham at Wembley, a horrendous defensive mix-up gifting Obafemi Martins the late winner.
Draws with West Brom and Blackburn further dented the title bid and while victory at Blackpool kept their hopes alive, stalemates against Liverpool and Tottenham allowed Chelsea to leapfrog them into second place.
Arsenal then suffered a last-minute defeat at Bolton on Sunday to end a 16-game unbeaten run, leave them with only eight points from a possible 21 and all-but end their chances.
"I feel the team gave a lot in the last two months," stated Wenger. "Since we lost in the Carling Cup, everything has turned a little bit against us.
"When we were on all fronts this team had fought very well.
"I just feel that after the Carling Cup we continued to be absolutely spot on with our attitude, but we missed a little bit of that subconscious belief which makes you win.
"That frustrates you because you know that it is there and you want to fight against it."
Since lifting their most recent Premier League title in 2004, Arsenal have finished second, fourth twice, third, fourth and third.
In those six years the north Londoners have been 12 points, 24 points, 21 points, four points, 18 points and 11 points adrift of the champions.
"If you look at all the numbers, it is the closest we have been," Wenger commented.
"Just look at the last week - we could have had nine points quite easily against Liverpool, Tottenham and Bolton, in the end we finished with two.
"Of the two trophies [Premier League and Champions League], the most important above all for me is the league - and this year we had the quality to win it."