Wenger's men struggled to break down a stubborn Chelsea side at the Emirates Stadium in a game that featured few clear-cut opportunities, as the hosts missed the chance to return to the top of the Premier League.
However, the home side were left aggrieved late in the first half as referee Mike Dean waved away their claims for a penalty after Willian appeared to bring down Theo Walcott.
And Wenger, who has now failed to defeat Jose Mourinho's Chelsea in 10 attempts, was quick to state his view that Arsenal had been the victims of a poor decision.
"It was 100 per cent a penalty when Theo Walcott was fouled," Wenger told SkySports. "In my mind there is no doubt. I don't know why it was not given."
The Frenchman still felt his side could have won it, with Olivier Giroud guilty of spurning a glorious late chance from close range.
"We should have won it," he added. "They came here to defend and catch us on the break.
"We were a bit edgy at the start but we took control in the second half and should have won it.
"It was a game of very few chances and we couldn't take ours. If you cannot win the game don't lose it."
