Arsenal could not have had a more undeserved finish to their remarkable FA Cup run.
Sunday's 2-1 home defeat to Watford ended a 16-game unbeaten run in the competition which dates back to February 2013.
The Gunners have won the as two FA Cups but their chance at a three-peat was ended by the Hornets who came to the Emirates Stadium to score a 2-1 victory.
Arsenal were dominant in possession and created a number of chances but only scored in the 88th minute through Danny Welbeck after Odion Ighalo and Adlene Guedioura had put the Hertfordshire club two goals ahead, prompting the following reaction from Wenger.
"They defended well, took their chances on the break," he said.
"They were physically very strong and overall I think we had enough chances to win the game. It was difficult to understand why we didn't score, I want to watch it again.
"It is a typical cup game where a team comes and fights and takes their chances with us trying to score.
"Our long, long run in the FA Cup comes to an end and it is in a very sad way because I did not think we deserved to lose this game.
"We have to look at ourselves maybe on the first goal. The second goal was a fantastic shot and I felt it was a real cup game.
"We do not make enough of our possession in the final third. Watford is a team who is good on the break and they depend on Ighalo and [Troy] Deeney. The defence kept with them and overall we did not give many chances away."