Arsenal were crushed 5-1 by Bayern for the second time in their last-16 tie, losing 10-2 on aggregate.
After Laurent Koscielny was sent off in the second-half, the Gunners capitulated, conceding five times in the space of 30 minutes.
Wenger has been on the receiving end of some heavy beatings in Europe.
But despite the demoralising nature of their latest loss, Wenger questioned whether it was disappointing, which will no doubt surprise Gunners supporters.
And Wenger thinks Arsenal can still hold their heads up high with their performance.
Arsene Wenger doesn't think Arsenal's defeat was his most disappointing night in Europe
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Arsenal player ratings against Bayern Munich
Tue, March 7, 2017
Express Sport brings you Arsenal's player ratings from their embarrassing 5-1 (10-2 agg) defeat to Bayern Munich
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GK: David Ospina – 0
We wanted to at least go home and feel we dealt with the situation with pride and commitment
“I don’t think so because we knew before the game that it would be difficult to qualify after the first leg,” Wenger said.
“We wanted to at least go home and feel we dealt with the situation with pride and commitment. We did that.
“The fact that the end result will not highlight the quality of our performance is very disappointing.”
Wenger’s men have just the FA Cup and securing a top-four to worry about now.