It could have been worse for Arsenal as West Brom missed a penalty before surging into a 3-0 lead.
Samir Nasri's late goals proved too little too late for the Gunners who travel to Partizan Belgrade in the Champions League on Tuesday before visiting leaders Chelsea next weekend.
"This was the first really bad performance of the season and it's unexplainable how flat the whole team looked," a perplexed Wenger told reporters.
"It's a mystery for me. I don't want to come down on any individual performance today as I believe it was a poor team performance. But I believe it was an exception.
"I didn't recognise my team today," added the Frenchman.
"You can have question marks about many players today if you look at the performance, especially the defensive one," Wenger said when asked about Almunia's display. "Many players made massive mistakes defensively."
The Italian's side faced a daunting start with Chelsea, Liverpool, Tottenham Hotspur and Arsenal in quick succession, but after six games they are fifth with 10 points.
"I thought the way we played we deserved to win," he said. "It was a tremendous performance, although at 3-0 I knew that it was not over."
