"We were never in the game, we were very poor offensively and defensively, and it as shocking to see how were beaten everywhere," he told reporters after the Champions League round of 16 first leg at the San Siro.
"It was our worst performance in Europe by far, there was not one moment we were really in the game."
The North London side went behind to a stunning early strike from Kevin-Prince Boateng before two goals from Robinho and a Zlatan Ibrahimovic penalty piled on the misery.
"We had to chase the game, open up our game. It was always the same for us, balls over the top, it's difficult to analyse. It's better not to talk too much and to analyse with a cool head," Wenger added.
"We will focus on our next games and although the result is a disaster, the season is not finished."
He said he did not feel Arsenal had made big tactical mistakes but acknowledged there was almost no hope of reversing the scoreline in next month's second leg.
"We did not have many other choices, we were weak in some departments, and I knew we could have some problems in some areas but I did not feel we would not score a goal tonight," the Frenchman said.
"Let's be realistic, we don't play in dream world, maybe there is a two percent or five percent chance statistically, realistically we are out of this competition."
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