He revealed: "Everyone was silent in the dressing room. The boss said nothing. It looked like we played but Chelsea scored the goals. Of course, I was as disappointed as everyone in our team.
"We did our best - unfortunately, it wasn't enough to get even a draw."
The pain is even deeper for Arshavin as he feels a huge debt towards Wenger and the club. The £20million signing from Zenit St Petersburg continued: "Of course, I feel responsibility because Arsene bought me for big money.
"I'm not Thierry Henry but I'm one of a few experienced players in this team.
"Fans expect results and I understand them because if you don't have results you have nothing. What should change? I don't know."