Having been knocked out of the FA Cup to Blackburn Rovers on Saturday, the Gunners endured a 3-1 defeat to the Germans at the Emirates Stadium, leaving their Champions League hopes hanging by a thread.
The Frenchman feels that the Premier League outfit's slow start cost them dearly during the match.
"In the first half they played much better than us," said Wenger. "The first shot on goal they scored and after that I felt we were a bit nervous defensively and we played against a team with a lot of class as well.
"In the second half we came back with better spirit, better domination back to 2-1 and it looked more like it would finish 2-2.
"But again we were caught on one of their counter-attacks by a team who has quality and initiative."
Arsenal host Aston Villa in the Premier League on Saturday.