Unai Emery’s side were well beaten 4-1 by their London rivals in Baku on Wednesday.
Goals from Olivier Giroud, Pedro and Eden Hazard put Chelsea 3-0 ahead midway through the second half. Alex Iwobi’s fine strike brought the Gunners back into the game, but Hazard scored his second and Chelsea’s fourth from the penalty spot to seal the victory.
The defeat not only ended Arsenal’s hopes of finishing the campaign with silverware but it was also their last opportunity to play Champions League football next season following their fifth-placed finish in the Premier League.
It means Arsenal will now be playing Europa League football for the third successive season.
Wenger, who managed Arsenal for 22 years between 1996 and 2018, was disappointed with the way his former side faded after conceding the opening goal.
“I felt that in the first half we did quite alright but as soon as Chelsea scored the first goal we collapsed completely,” Wenger told beIN Sports.
“In the second half we didn’t exist. It was a sad night for us.”
Wenger did have some sympathy for the Gunners despite the manner of their defeat.
The 69-year-old acknowledges that the Europa League is a tough competition to compete in alongside a gruelling Premier League season as it places a great strain on the squad.
“I agree that until the quarter-final in the Europa League you play with a reserve team when you play in England because the Premier League is so demanding,” the Frenchman added.
“I would say that even in the Champions League group stage you rest players, when you have a difficult game over the weekend, sometimes even in the group stage because you’re close to qualifying.
“The Premier League is so difficult that until the quarter-final the teams play with [players] who do not play in the Premier League.
“I think in recent years it is always the team who got knocked out in the Champions League group stage who won for many, many years in the Europa League.”