Although the two sides went in level at the break, goals from Robert Lewandowski, Thomas Muller and Thiago Alcantara put Arsenal on the brink of a seventh successive second-round exit from the competition.
Wenger told reporters after the game: "It is difficult to explain. I felt we had two good chances to score just before half time. I felt we were unlucky for the second goal, the referee gave a corner at first. Then we concede the second goal and then the most important thing was that we lost Laurent Koscielny. We collapsed.
"I do not look for excuses. It is a shock of course to lose at that level. We made everything wrong, the fifth goal shows that. These kinds of games you need to be focused for 90 minutes. I felt the third goal was a killer for our players, after that we had no response.
"Overall I must say they are a better team than us, they played very well in the second half and we dropped our level. We were a bit unlucky that we dropped our level and they were better than us."
Up next for Arsenal is their FA Cup fifth-round tie at Sutton United on Monday night.