Alex Oxlade-Chamberlain managed to blast home an equaliser 15 minutes from time to salvage a point, although Wenger felt that his side deserved more.
"We had a lot of the ball and it finished 1-1 so I am frustrated," the 64-year-old said. "We had good spirit and determination. We had 77% possession in the second half which is unbelievable.
"I am frustrated because we dropped two points and I am frustrated because we didn't make enough of our set-pieces. You want to be rewarded for the work you put in.
"You always want to create more but that is the Premier League now, teams sit deep. I had reduced options as well because I lost players. I had only one option for an attacking player to bring on at half time."
Arsenal are currently in fourth place in the Premier League table, six points off leaders Chelsea.