Heat 2 tablespoons of the oil in a heavy large saucepan over medium heat. Add the shrimp and sprinkle with 1/2 teaspoon of the salt and 1/4 teaspoon of the pepper. Cook until the shrimp are just opaque in the center, about 3 minutes. Remove the pan from the heat. Transfer the shrimp and juices to a bowl to cool.

Add the remaining 3 tablespoons oil to the pan. Add the fennel and onions. Cook until tender, about 4 minutes. Add the garlic and cook until aromatic, 30 seconds. Add the rice. Stir until well coated and translucent in spots, about 2 minutes. Add the wine. Cook until the wine is absorbed, stirring often, about 2 minutes. Add the broth, lemon juice, zest, and the remaining 1/2 teaspoons salt and 1/4 teaspoon pepper. Increase the heat and bring to a boil, stirring often. Reduce the heat to medium-low. Simmer until the rice is just tender but still has some bite and the risotto is creamy, stirring often, 13 to 14 minutes.

Mix in the arugula. Stir until the arugula wilts, about 30 seconds. Add the shrimp. Mix in additional broth if needed, 1/4 cup at a time, until the risotto is creamy.

Spoon the risotto into 4 shallow soup bowls.