Alexis Sanchez gave the Gunners hope with an equaliser before half-time.
But Bayern outclassed the Premier League side with four goals in the second half.
And Wenger believes Bayern's third was the decisive moment.
Arsenal manager Arsene Wenger
He told BT Sport: "I do not look for excuses. It is a shock of course to lose at that level. We made everything wrong, the fifth goal shows that.
"These kind of games you need to be focused for 90 minutes.
"I felt the third goal was a killer for our players after that we had no response."