The Gunners failed to score in the league for the first time in three months and have gone three games without a win due to Wednesday night's stalemate at the London Stadium.
West Ham's last game prior to the Arsenal match was on Saturday against Chelsea, while the Gunners were last in action on Sunday at Southampton.
"We had so much of the ball, but it was very frustrating because we could even have lost it at the end," Wenger told reporters. "They're happy to defend, they did that against Chelsea and Manchester City, so we couldn't find the opening and the few chances we had we missed.
"I can't fault the effort of the team but West Ham were very good in defence tonight. There's always concern [about the table] as we are here to win games. Chelsea came here and lost and we had one day less to prepare. When you play every three days, you lose your sharpness."
Arsenal are next in action on Saturday afternoon when they host Newcastle United.