The Gunners beat Bayern Munich 2-0 in Germany on Wednesday but crashed out on away goals despite levelling the aggregate score to 3-3. They had been the final English participants in the tournament, after Manchester United, Manchester City and Chelsea had all been eliminated earlier.
This season marks the first time since the 1995-96 campaign that no English sides are represented in the quarter-finals, and Wenger feels that this is no coincidence.
"It's a massive disappointment for English football," Wenger told ESPN. "For a number of years we've not had that.
"I think it's a massive wake-up call for us. It means the rest of Europe has caught up on us. We have to take that into consideration when we think about the future of the Premier League."
Chelsea and City were dumped out in the group stages of the competition, while United's time in the tournament came to an end at the hands of Real Madrid in the last-16.