Wenger said: "We had plenty of chances but when you do not score, you have to ask why. You can praise their keeper but also question your own strikers.
"Many of my players were not fazed by the game, though, and that is a positive from the game.
"So many of them gave absolutely everything, but in front of goal, you have to be much more clinical than we were and I think we were a bit naive in taking our chances.
"Had we scored at any time, then the complexion of the whole tie would have been different, but it was always us chasing the game and them playing on the counter-attack. That's the easiest way to deal with the game."