He said: "It was an unfair result but I felt we were a bit naive. I felt as well we did not take our corners very well but overall what is frustrating is that we lost a game we looked the winner of.
"We put a lot of effort in and are not rewarded. We lacked a little bit of experience to be decisive in the final third."
Wenger did take some positives out of the game but insisted the Premier League was always his priority despite being so close to the semi-finals of this competition.
"I think in midfield (Emmanuel) Frimpong did well and (Francis) Coquelin did well," he said.
"Sometimes you could feel in the final third we lacked a little in creativity - but overall we did well and I cannot fault the team. They did very well and showed heart, quality and desire.
"You can argue that we lost the easiest trophy to win, but if you look at the teams who are still in it doesn't seem as easy to win as usually.
"I consider the championship the most important for us, more than anything else it is important to finish in the top four."