The tournament's quarter-finals contain no English teams for the first time since 1996 and the Arsenal boss is wary of the top flight's future in European football
The Gunners became the last British club to be eliminated in the last 16 after Manchester United and Celtic were beaten by Real Madrid and Juventus respectively with Chelsea and Manchester City having already been dumped out in the group stages.
The Frenchman's side were beaten by last season's finalists Bayern Munich on away goals, in spite of a brave performance in the Allianz Arena which saw them level the tie at 3-3, having trailed 3-1 from the first leg.
"It is a big wake-up call," Wenger told Sky Sports.
"It means that the rest of European football has caught back on us and means we need to consider in the Premier League what we have to do to improve."
Turkish club Galatasaray and Spanish side Malaga are two surprise sides in the last eight after Cim Bom shocked German club Schalke and Manuel Pellegrini's side saw off 2004 winners Porto.