Arsenal were beaten 3-0 at Wembley by Manchester City on Sunday and Wenger's side produced a meek display in the game.
The performance prompted former Manchester United captain Neville to tear into Arsenal and he criticised Aaron Ramsey, Granit Xhaka and Mesut Ozil for walking.
But Wenger rejected the suggestion some of his players did not produce at the expected level against City.
“You could find that [walking] on both sides,” Wenger said. “You can always get out pictures from a game that justifies what you think.
"You find in every single game, on both sides, moments where a player doesn’t track. You have to analyse why. Has he made two runs before to go in behind and was exhausted, or did he not track because he didn’t want to? That is different.
“Of course, the players gave me everything. I am long enough in the game to know that when you lose a big game, people always say that the players don’t want it enough.
"Did we lose the game because of that? I am not convinced. When there is a big difference like 3-0 you always get that impression. For me, it is not the main reason.
“We got to the final and you don’t get there by coincidence. You have to fight to get there and we did. We didn’t play against a poor team in the semi-final, we played against Chelsea and we have shown that we can fight.
"We have to live with the criticism, it’s part of the modern game. People who comment – their job is to comment, so you have to live with that. What is important is how we respond.”
Wenger also believes his team's critics should show "a bit of perspective" as he feels the final was close and insists it should not be considered shameful to lose to a team with a 13-point lead at the top of the Premier League.
He added: "I felt it was a very tight game until the 2-0. When you look at the end, Man City had three shots on target, we had two, so overall I believe we have to turn the decisive moment in our favour and play with more freedom.
"I think we played a bit apprehensively. It's important that force is part of our game.
"I'm quite amazed at how people analyse; it looks like we lost against a team in division five. We lost against a team that dominates English football at the moment. We have to take a bit of perspective."
Nacho Monreal was forced off in the first half of the defeat and Wenger fears the defender could miss up to four matches, including Premier League clashes with City, Brighton & Hove Albion and Watford and the first leg of the Europa League last-16 tie against AC Milan.
"Nacho is out for the two games," said Wenger. "He might be out for two more: Milan, and maybe one more.
"He had an inflamed back – a disc problem. Everyone else is fit."