Russia – managed by former Chelsea boss Guus Hiddink – were favourites to progress from their two-legged play-off with Slovenia but were cruelly denied a place on the away goals rule.
And Wenger confirmed the result had left the playmaker absolutely devastated after missing out on the chance to captain his country in South Africa.
“He is very down,” Wenger told the club’s official website.
“He came back from Slovenia very down and that’s the main reason I did not play him from the start against Sunderland.
“You want players to be 100 percent focussed, play a game like it’s life or death, and it is impossible not to be down if you don’t win.
“If you care, you are down. Arshavin is Russia captain and he is 28. At the next World Cup he will be 33.”
Wenger, however, has no doubts that the Russian has the strength to overcome the disappointment and continue his good form which has seen him notch four goals in the Premier League so far this season.
“He is a winner and strong mentally and when his back is to the wall he responds,” Wenger added.
“He is a tough boy. He is mentally ok, but he is down and is still disappointed for his country.”
Arshavin played the full 90 minutes against title rivals Chelsea on Sunday but had a goal ruled out in the Gunners' 3-0 defeat as Carlo Ancelotti’s side stretched their lead at the top of the table to five points.
