Kickoff in the two sides' Europa League opener was delayed by an hour amid chaotic scenes outside the 60,400-capacity ground as thousands of ticketless German fans attempted to gain access.
While Koln's official away allocation of 2,900 was met, thousands more away fans were in attendance at the match having posed as Arsenal fans or purchased tickets from touts.
The result made for an uncomfortable atmosphere for home supporters, with many asking to be relocated to different areas of the stadium and some leaving early because of the delayed start.
"[The Koln fans] were very clever," Wenger told reporters afterwards. "I don't know how they managed to infiltrate our fans and get everywhere.
"I don't know if they went through Arsenal membership, on the internet, but they did well.
"Certainly they had more people here than tickets."
Arsenal have announced that they will launch "a full review" into the events that led to the chaos.