Wenger has now failed to beat a Blues side managed by Jose Mourinho in nine attempts after a 2-0 defeat at the Emirates Stadium on Tuesday.
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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 team paid the price for being naive, but backed his players to put their 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.
"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."