Arsenal led through Alexandre Lacazette's header at Emirates Stadium on Thursday, the visitors having been reduced to 10 men in the 10th minute by Sime Vrsaljko's second yellow card.
Coach Diego Simeone was also sent to the stands but Atletico - whose goalkeeper Jan Oblak was in brilliant form - claimed a priceless away goal through Antoine Griezmann's late strike.
Danny Welbeck was hustled out of possession, Laurent Koscielny fell under pressure from Griezmann and Shkodran Mustafi compounded the error by slipping as he tried to stop the France forward converting after David Ospina blocked the initial shot.
"It's not about blaming individuals," Wenger told a post-match news conference. "The whole team is disappointed and down. We need to build the desire and confidence to go there and qualify.
"Once they were down to 10 men it destroyed the flow of the game. It was not to our advantage. The only advantage of that result is we know exactly what we have to do.
"I feel we produced the performance we wanted to produce but the result is not in line with the performance. Once we were 1-0 up, the task was clear to us not be caught on the long ball.
"The only chance they could have was the long ball. We were a bit unlucky with the goal because it was a foul on Welbeck, but we can only look at ourselves tonight."
Wenger's last home European match in charge of Arsenal was played out in front of a full Emirates Stadium, pleasing the Frenchman despite the result.
"Our fans were fantastic, that's what you want," Wenger added. "We created the anti-climax by giving the goal away."
Santi Cazorla warmed up on the pitch prior to kick-off, the Spanish midfielder attempting to come back from 18 months out with a horrific Achilles injury that almost saw him lose his foot after an infection.
"He feels well, but he needs full preparation in pre-season now to try and come back," Wenger said.
"Will he stay at Arsenal? I don't know."