Two goals in the first eight minutes from Franco Di Santo and Jordi Gomez gave the Latics an early advantage and, despite responding with a Thomas Vermaelen goal midway through the first half, the Gunners could not muster an equaliser.
"I feel we were a bit unlucky tonight," Wenger told Sky Sports News. "Wigan played well, but there was a lot of possession on our side, and we got caught a few times on the counter attack.
"I concede we were not at our best, but it was still very harsh to lose the game like that.
"They defended well. In the second half we didn't create a lot because we were not patient enough to build our game from the back."