Aaron Ramsey contentiously fouled Nathan Dyer in the first half to allow Scott Sinclair to cancel out Robin van Persie's opener.
"We were unlucky today because it was never a penalty," Wenger told Sky Sports News. "I still don't understand where the referee found the penalty, then we defensively made some mistakes that we should not have done.
"When it was back at 2-2 we knew we could score a third but it was important not to make a mistake. But in the last games we have made mistakes that are difficult to explain. It is unbelievable, it happened at Fulham the same and again today."
The Gunners remain fifth in the Premier League table after the defeat.