The Gunners had a night to forget at the Allianz Arena as Bayern swept to a 5-1 win.
Wenger's side were well place to get a good result at the break.
Alexis Sanchez got them back in it after Arjen Robben's opener.
But the visitors fell apart after the break and are almost certainly out of the competition.
"It is difficult to explain," Wenger said.
"I felt we had two good chances to score just before half time.
"I felt we were unlucky for the second goal the referee gave a corner for us at first.
"Then we concede the second goal and then the most important was that we lost Koscielny. We collapsed.
"Overall I must say they are a better team than us, they played very well in the second half and we dropped our level.
"We were a bit unlucky we dropped our level and they were better than us.
"I do not look for excuses. It is a shock of course to lose at that level. We made everything wrong, the fifth goal shows that.
"These kind of games you need to be focused for 90 minutes. I felt the third goal was a killer for our players after that we had no response."
