The Gunners fell behind inside seven minutes when Juan Mata controlled Cesar Azpilicueta's cross-field ball before firing home but there was an element of unjustness about the opener as Arsenal's Francis Coquelin appeared to be fouled in the lead-up.
Wenger voiced his displeasure at that non-call in the post-match whilst also suggesting his side were hardly done by in other situations.
"The referee gave a lot of free-kicks today, and some much less than the Coquelin one. It's frustrating," the Frenchman said.
"It doesn't mean we should have conceded the goal but, in the big games, these decisions have big implications."