Wengers' men lost their first European home match against non-English opposition since 2003 thanks to goals from the Bundesliga side's Dutch duo Klaas-Jan Huntelaar and Ibrahim Afellay.
Arsenal however, did not manage a shot on target until the 93rd minute, something which Vermaelen could not explain.
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"It's difficult to explain," he told Sky Sports . "I think we gave 100 per cent, everybody, but it's a little bit difficult at the moment. We don't create enough chances to score goals, and we conceded two today so we lost."
"We lost on Saturday, we wanted to do better today. We couldn't creat chances on Saturday and did the same today."
The Belgian defender also believes opposing teams set themselves up defensively in order to frustrate Arsenal.
He continued: "Teams come here against us with strong organisation all the time. They know we have technical ability and come with a defensive shape all of the time. Sometimes its difficult to get through that."
Vermaelen believes Arsenal are short of confidence at the moment, but expects a turnaround in fortunes soon.
He added: "You know these moments are difficult but we have to work hard everyday. If we work hard then in the end it will be okay."