Trailing 1-0 from the first leg, Arsenal had high hopes of turning the tie around but were staring at a three-goal deficit after 11 minutes and went on to lose 3-1 as a 24-match unbeaten home record in Europe came to a jarring halt.
"It was the most disappointing because I felt the fans were really up for a big night and to disappoint people who stand behind the team so much hurts," the crestfallen Wenger told reporters.
He said United were just too ruthless for his inexperienced side who never recovered from an horrific opening which blew away any chance of reaching their second Champions League final in four seasons.
"Tonight we were caught by a team that has the art to kill and take advantage of every mistake you make," he said.
"We don't have the feeling that we played a Champions League semi-final, we were out of it after 10 minutes and had 80 minutes to play against a team that defends well and who waits for the counter-attack.
"The game was over before it started. It's difficult to swallow and so disappointing to fight such a long way to where we have been and then to give the game away like we did."
Wenger's team, weakened by injuries to key players, was no match for a seasoned United side who dominated from the moment Arsenal's teenage left back Kieran Gibbs's crucial slip allowed Park Ji-sung to put the visitors ahead after eight minutes.
Cristiano Ronaldo's long-range thunderbolt made it 2-0 after 11 minutes and the Portuguese made it 3-0 when he completed a superb United breakaway before Robin van Persie's late penalty rescued a modicum of pride.
"We kept going and did what we could but the belief had gone," Wenger said.
"We can talk all night and cannot change the mistakes now. United deserved to go through because the game could have been over after the first leg.
"I thought we had the chance to get back into it but congratulations to them and good luck to them in the final."
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