The Arsenal manager admits defeat was side's "worst performance in Europe" as they lose 4-0.
AC Milan hammer Arsenal in Champions League to stun Wenger
The normally confident Frenchman even admitted that his side were as good as out ahead of the second leg in North London in three weeks time.
A Kevin-Prince Boateng blockbuster, a Robinho brace and a penalty from Zlatan Ibrahimovic gave the Italians their first win in seven Champions League clashes against English opposition while also ending a run of three straight home defeats against Premier League teams.
It was the Gunners' heaviest ever defeat in European competition and Wenger was not about to defend it.
"We were never in the game, we were very poor both offensively and defensively," he said.
"It was shocking to see how we were beaten everywhere, it was the worst performance in Europe by far.
"There was not one moment during the 90 when we were really in the game.
"What made it worse is that we had to chase the game and open up our game and they always caused the same problems with balls over the top.
"We were well beaten, it's difficult to analyse, it's better not to talk too much and to analyse it with a cooler head and regroup for the next game."
Massimiliano Allegri, the Milan coach, was understandably thrilled with his side's display.
"We played a perfect match, especially in defense," he said. "We played very well as a team, we didn't give them any goalscoring chances. We deserved this night, this win. It's the best game we've played this year."
With Arsenal's last chance of silverware the FA Cup and a tough away fifth round tie at Sunderland - albeit they beat them 2-1 last weekend in the Premier League match - and the North London derby to come afterwards at home to high-flying and in-form Tottenham Hotspur at the weekend, Wenger couldill afford such a performance.
"We will focus on our next games, the result is a disaster but the season is not finished," he insisted.
"We've a very big game on Saturday (against Sunderland) and a good opportunity to show we have the character and mental strength and can respond after such a shocking defeat."
However he refused to blame his players.
"They didn't let me down, we let our ambitions down as a unit. You could blame and blame and blame but we have to stick together and win the next game," he added.
"The players were very ambitious in this Champions League and they are the first to be very sad.
"We felt powerless today to get really into the game.
"I cannot say I did everything perfectly when we lose 4-0, I don't believe we did any big tactical mistakes, there were not many other choices.
"We were weak in some departments, we knew before the game that we could have some problems in some areas but I didn't feel we wouldn't score."
In the night's other game, Zenit St Petersburg defeated Benfica 3-2 as Roman Shirokov scored twice. Maxi Pereira put Benfica ahead in the 20th, tapping the ball in after backup goalkeeper Yuri Zhevnov spilled Oscar Cardozo's free kick, but Shirokov tied it seven minutes later. Substitute Sergei Semak made it 2-1 with a backheel in the 71st. Cardozo levelled things again in the 87th after Zhevnov again failed to hold a shot, before Shirokov won it at the death.