Wenger has now failed to beat a Chelsea side managed by Jose Mourinho in nine attempts after a 2-0 defeat at the Emirates Stadium on Tuesday.
Cesar Azpilicueta scored his first goal for Chelsea and Juan Mata got off the mark for the season as Mourinho's charges secured a deserved win to move into the last eight.
Azpilicueta's opener came as a result of a mistake from right-back Carl Jenkinson, who failed to get enough on an attempted header back to Lukasz Fabianski that allowed the Spanish full-back to nip in apply the finish.
Wenger made eight changes to the side that beat Crystal Palace 2-0 in the Premier League on Saturday and, although Mourinho made 10 alternations to his starting line-up, Chelsea were still able to field an experienced side.
The Arsenal boss felt his side paid the price for being naive, but backed his table-toppers to put their League Cup exit behind them when they face Livepool in the Premier League on Saturday.
Wenger said: "I think it was a very tight game that was decided by one or two mistakes.
"We were a bit naive in some situations. We gave them a chance to counter-attack when we went 1-0 down and we didn't create many chances ourselves."
He added: "We have to respond well against Liverpool on Saturday because we are in a strong position in the league
"Let's not go too quickly to conclusions because we have taken more points than anybody since January."
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