Wenger admitted that some of the assuredness of their early-season form had been hit by the setback at the weekend.
"The mood was very low because we were all disappointed," Wenger said. "It is still low. I've not yet found a measurement of the lowness of a football team.
"It is the first game we have lost. And as a manager I must take perspective. What we are doing is outstanding. But we were very disappointed.
"Physically, what we did was tremendous. The statistics were the highest this season in terms of the sprints we made and the distance ran. You cannot say we lacked effort. We lacked sharpness, maybe, but the quality of work was there.
"I will tell the players to continue to play the way we want and to believe in themselves."