The Gunners manager was left distressed following Arsenal's 5-1 mauling at Bayern Munich.
Having held hope at half-time with the score at 1-1, the visitors capitulated after the break at the Allianz Arena.
And following the game, Wenger was keen to avoid scrutiny after his side's latest failure.
Arsene Wenger's long-term future at Arsenal appears more and more uncertain
The last 25 minutes was a nightmare for us
Arsenal's manager spoke briefly to the media before the press officer called an end to questions.
The Frenchman's responses were unconvincing, with members of the German media said to be giggling at the situation.
Wenger said: "The last 25 minutes was a nightmare for us.
"We looked like we had no response."
Arsenal fans are absolutely furious with Arsene Wenger
Wed, February 15, 2017
Arsenal fans are absolutely furious with Arsene Wenger after their performance against Bayern Munich in the Champions League
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Arsenal fans are furious with Arsene Wenger
His future as Arsenal manager is looking more and more uncertain with no new deal signed yet.
With Wenger's contract expiring at the end of the season, he may decide to end his Arsenal career.
His next focus though turns to Monday's FA Cup fifth round tie at Sutton United (7.55pm) on Monday.