The Gunners were shocked 3-2 by Olympiakos in the Champions League to slump to their second successive defeat in the group stage of Europe's premier club competition.
At home, Arsenal conceded three goals to the Greek champions which Wenger highlighted in his post-match press conference.
"Some aspects of our game were quite good but I thought we lacked quality defensive concentration and we played against Olympiakos who defended very well," said the Frenchman.
"I believe we had a bit of bad luck as well because they had four shots on target and scored three goals and that happens once in 100 Champions League games.
"The turning point was 2-2 and after a difficult start at 2-2 we gave them a goal and that was the turning point of the game. We gave a lot and had 65 per cent possession.
"We feel guilty because we gave easy goals away."