The Gunners were losing 3-0 and were a man down after just 17 minutes of the match, and Wenger admits that he is the one who should take the blame for the result.
"It was a nightmare and I take full responsibility for it. What is important is to give a response on Tuesday night and that is it," he told the club's official website.
"The players are deeply disappointed as we all are. I think let us prepare for the next game."
The defeat means that Arsenal are now seven points behind Chelsea in the Premier League table and face an uphill battle to win their first title since 2004.
"It leaves it in a very bad situation," said the Frenchman. "But we want to respond. We had two difficult away games at Tottenham Hotspur and Chelsea. If we had played two draws, we'd have two points.
"Having won one we have three points. But today is a huge disappointment of course. When you don't turn up in a game if this stature – nobody takes that easy.
"We have to win the next game. That is what we have to focus on now and give a strong response."
Arsenal return to Premier League action on Tuesday evening when they host Swansea City at the Emirates Stadium.