Wenger insisted Arsenal's players should not feel embarrassed despite the Gunners losing the Capital One Cup quarter-final to a Bradford team which cost a total of £7,500 in transfer fees.
The League Two side, currently 64 places lower than the Gunners, triumphed 3-2 on penalties after the match ended 1-1 after extra time at Valley Parade.
Only one Bradford player commanded a transfer fee - James Hanson, from who cost £7,500 from non-league Guiseley plus the proceeds of a friendly.
Asked if his players felt embarrassed, Wenger said: "You feel embarrassed when you don't give everything but I feel the team did fight and they will be more disappointed and frustrated.
"It's disappointing but congratulations to Bradford. They defended well, started stronger than us and in the second half and extra time it was all us but we couldn't convert our chances.
"It was a typical English cup game on a difficult pitch and overall we lost on penalties but I cannot fault the efforts, we kept going until the last minute and in the end Bradford got on top of us.
"Of course we missed three penalties and that's a lot to take."