The Gunners failed to reach the quarter-finals of the competition for the first time in 11 years as they went down 2-0 at the Emirates Stadium.
Wenger now wants his side to get back to winning ways when they entertain Liverpool in the Premier League on Saturday night.
"Of course it's difficult but that's part of the season; you know you will not win all of the games but we have to respond well on Saturday against Liverpool," the Frenchman told the club's official website.
"We are in a strong position in the league and we have a good opportunity at home and we we have to turn this round because away from home we are very solid but at home as well you know that it is important and vital to win the big games."
Arsenal are currently two points clear of Chelsea and Liverpool at the top of the Premier League table.