Arsenal had their opponents under siege for most of the game and took the lead through Alexandre Lacazette's header on 61 minutes, only for Antoine Griezmann to get the better of Laurent Koscielny and rifle home late on.
"Looking at the performance and the way the game went, it was the worst possible result for us, but we have to go there in a positive mood and qualify," Wenger told BT Sport. "Unfortunately we gave a goal away from nowhere but now we need to recover from the disappointment and prepare for the next game.
"Of course it feels like an opportunity missed. We could have qualified tonight but it didn't happen. Their keeper made a lot of saves and they showed their quality by scoring with one chance. But they couldn't score with a combination, they could only do it with a long ball, so we have to look at ourselves.
"You don't look at the statistics, you can only look at your own performance and we know we can score from anywhere. What matters is that we go there with the belief to do it."
The return leg of the tie takes place at the Wanda Metropolitano next Thursday, with the winner set to face either Marseille or Red Bull Salzburg in the final.