Wenger's lost 3-1 to the French outfit in the Round of 16 first leg at the Emirates Stadium on Wednesday night in what was a very mediocre performance on home soil.
The Gunners will now head to the Stade Louis II for the return bout on March 17 in which Wenger wants his players to take it up to Leonardo Jardim's Monaco who were brilliant on the break in north London.
"The task is massive now and the third goal makes it even more difficult, but we will have a go of course and see what we can do there," Wenger told Sky Sports.
"It is very, very disappointing, but Champions League is down to performance on the day and when you do not perform at the level that is requested for 90 minutes you are punished as the teams have the quality.
"We knew before the game they absorb you and hit you on the break, and what happened is exactly that. But congratulations to Monaco, they fought and defended really well and caught us on the break."
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