Relegation strugglers Wigan raced into a two-goal lead thanks to efforts from Franco di Santo and Jordi Gomez, before Thomas Vermaelen reduced the deficit.
Wenger, who could see the five-point lead his team hold over North London rivals Tottenham Hotspur reduced to just two points by Saturday evening, insisted that the defeat was not down to lack of concentration.
"It's a shame, it's a defeat that is very difficult to swallow because we have done so well in the last two months. Everybody is deeply disappointed," he told the club's official website.
"I wouldn't put it down to complacency, I just think the way we defended the first two goals was not acceptable. I was still confident at 2-1 especially, but unfortunately in the second half we did not have a lot to offer.
"We have given a lot recently and we were not sharp. We played with [Theo] Walcott, [Alex Oxlade] Chamberlain, [Robin] Van Persie, Gervinho and [Tomas] Rosicky so you couldn't put more strikers on the pitch."
"Of course, we knew it anyway that the Chelsea game would be massive," said Wenger said. "It is even more important now."
