The Gunners fell to a 3-2 defeat to Olympiakos in the Champions League last night to leave their European dreams in tatters.
David Ospina started in goal and was at fault for the Greek side's second goal when he dropped the ball into his own net.
Fans were left bemused by Petr Cech's absence from the starting XI, with the ex-Chelsea man fit enough for the bench.
And Wenger confirmed after the game that the goalkeeper picked up a slight knock at the weekend and wasn't risked.
"He had a slight alert before the game at Leicester and I did not want to take take a gamble but it is not because of that we lost the game," Wenger said.
Defender Laurent Koscielny limped off just before the hour mark, and Wenger has confirmed the Frenchman is set for a spell on the sidelines.
"It is a hamstring," he said. "This is why I rotate as we play many games. The other teams do it as well.
"You look at the other teams in Europe’s benches and you will see them rotate.
"You cannot play every three days without rotating your players. That is a fact and you have to accept that."
Arsenal are next in action against leaders Manchester United on Sunday.
Cech is likely to return between the posts against Louis van Gaal's side, but Koscielny will be replaced by Per Mertesacker in central defence.
Mathieu Flamini and Mikel Arteta could return, but won't feature from the start.
