Ruben Neves scored a stunning free-kick to put Wolves ahead at Molineux on Wednesday with Matt Doherty and Diogo Jota also on target before half-time.
Leno misjudged Jonny Castro Otto's cross to allow Doherty to nod home, then he looked to be beaten too easily by Jota, leaving Arsenal with a mountain to climb.
Although the Gunners scored a late consolation through Sokratis Papastathopoulos, their Champions League qualification hopes have been dented by back-to-back Premier League defeats.
Emery, though, opted not to point the finger of blame at Leno after Arsenal fell to their heaviest Premier League defeat against a newly promoted team since 1994.
"I don't want to speak about individuals. We need to continue together and not look at one player, defensive or attacking," Emery told a news conference.
"We need to think to recover our confidence, our good moment. When we were in the worse moments we can recover to take possibilities
"In the last two matches we lost good options but the last three matches we are going to play we will play our possibilities."
"I usually am very critical of myself. I am angry with myself when we didn't do the game plan I wanted," Emery added.
"My idea, my style is to look in front and find the solution, not who is the player who is playing worse or not doing what we spoke of before.
"First I think of the solution. That is to think about Sunday and take the possibility to come back with our best performance to take the three points.
"When we win, we win together and when we lose, we lose together. In
"We lost the chance to have it in our hands but we will continue and take the opportunity on Sunday."