The 41-year-old German keeper, who came out of retirement this month to rejoin his former club, was his usual talkative self but just before half-time he missed the ball as he attempted to kick it clear and watched it roll narrowly past the post.
Arsenal were reduced to 10 men after 20 minutes and Lehmann was powerless to stop Wigan scoring twice in the second half to secure a 2-1 victory.
Lehmann, the former Germany and Borussia Dortmund keeper, was a member of Arsenal's "Invincibles" side which won the 2003/04 Premier League without losing a match.
He left the Premier League club in 2008 and retired last May before agreeing to return to help Arsenal through a tricky injury situation which had left them with only one fit experienced goalkeeper.
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