Although Olivier Giroud levelled at 3-3, the Gunners could not find a winner - but were then awarded a penalty in stoppage-time for handball, only for Fulham keeper Mark Schwarzer to produce a brilliant stop from Mikel Arteta's low effort.
"It was frustrating because we had the opportunities to win. We were caught in a bit too comfortable of a position because we did the most difficult thing - we scored two goals to go 2-0 up. At that moment we lacked urgency defensively," said Wenger.
"In the second half we gave absolutely everything and I have to give credit to the players, in the last three games what they have done physically is amazing.
"Even at 3-2 down we didn't give up and continued to go forward and we had the chances to win the game."