The 23-year-old was unable to help his nation go beyond the quarter-finals in Brazil following a 1-0 defeat to Argentina.
Wenger has not questioned Hazard's quality, but believes that the playmaker was not mentally prepared for the demands of a World Cup campaign.
"He did not play as well as I know he could," Wenger told beIN Sport.
"In the Premier League he is an exceptional player and he is a fantastic player who makes things happen and I always had the idea that with Eden Hazard, nothing affects him.
"In the big games he is great but in this tournament, when Belgium really needed him, he could not really deliver and I believe it's mental."
Hazard was linked with a big-money move to Paris Saint-Germain this summer, but the midfielder has publicly stated that he plans to stay at Stamford Bridge.