Mario Mandzukic's late third goal was the difference between the two sides over the two legs and it is a goal which still irks Wenger.
"It's very difficult to go out of the Champions League for anybody, especially when you lose at home, you make it difficult for yourself," he told Sky Sports 2.
"We played against one of the best teams in Europe.
"The spirit and the performance was there we had a great go.
"My regret from first game is that we conceded a cheap goal in the last five minutes when we could lose 2-1 at home.
"You can see how important that goal was tonight."