The Frenchman says he takes full responsibility for the defeat at Stamford Bridge but admits he was 'puzzled' by the manner of his side's capitulation against Jose Mourinho's men
The 6-0 loss left the Gunners seven points behind the Premier League-leading Blues, although Jose Mourinho’s men have played one game more.
Arsenal hosts Swansea City on Tuesday evening and Wenger insists his players “must show character” after the collapse at Stamford Bridge.
"The game at Stamford Bridge was a nightmare for us and I take full responsibility for it. The players are deeply disappointed, as we all are," Wenger said in an email sent out to Arsenal fans.
"We have to think deeply about it because it is not the first time it has happened in this kind of game. It all went wrong and we failed completely on Saturday because we did not turn up with a performance.
"We felt we prepared properly, but we did not produce what we can, so it is puzzling. After 20 minutes, the game was over and it became a long afternoon.
"That is the most disappointing thing, that we were never in the game. It is puzzling because we were knocked over basically without feeling we had been in the match.
"Now we have to win our next game. That is what we have to focus on. It's vital that we show character and respond in the right manner on Tuesday night against Swansea City.
"We are all determined to put this performance behind us and respond."