Lacazette thought he had scored an equaliser with 18 minutes to go in Saturday's Premier League encounter, emphatically finishing into the top corner after racing on to Olivier Giroud's flick.
But he was adjudged to be offside in an extremely close call, meaning Stoke debutant Jese Rodriguez's 47th-minute strike settled the match.
Wenger was unhappy with the decision after the match, insisting it was "very easy" to see Lacazette was in fact onside.
"I think we scored a goal that is not offside," Wenger said to BT Sport.
"It is a very easy decision. When the ball is kicked he is not offside, Lacazette.
"It was a very frustrating evening. I feel we had plenty of chances to score and didn't.
"We know in this kind of game it is important not to make a mistake but straight after half-time we were too sluggish on defending and we paid for it.
"After that we did not move the ball quickly enough and we did not combine well. I believe some teams will get something here, that is why if you want to play at the top you have to consider it three points dropped."
Wenger added to BBC Sport: "We were unlucky. I think we scored a regular goal that was given offside and it wasn't offside.
"It is a difficult defeat to swallow. We had chances - we should have won the game comfortably. You don't want to lose games that you should win.
"It was frustrating getting caught cold for the goal. Defensively there is no excuse. We gave them a cheap goal. I was not convinced by our central defence."
The result means Arsenal have not won their first two games of a Premier League season since 2009. They are back in action in a huge match away to fellow title hopefuls Liverpool next Sunday.