The Gunners appeared to be on their way to a third straight European win and all but into the knockout stages following Cesc Fabregas' 35th-minute strike.
However, the Dutch side, managed by Ronald Koeman, refused to give up and snatched a point at the death when David Mendes da Silva blasted in from close range after a ball into the box had been flicked on by substitute Graziano Pelle.
"You know that in the last five minutes of a Champions League match, anything can happen," said Wenger. "They have thrown everything forward and felt they could only score on a set-piece, and that is what happened.
"It is frustrating because we looked closer to scoring a second than conceding, but credit to them, they did fight well and went until the last minute."
Wenger, who watched his side recover from a nightmare opening five minutes of their last away European tie, added: "We are still learning.
"You do not need to give a free-kick away on an offside in the last minute.
"We were caught a bit naively on the second ball, that can happen sometimes on the first one that you lose the header, but on the second one, their player was completely free to score."
He added: "In football, you have to produce the maximum result with your game, and tonight that did not happen."