Robin van Persie gave The Gunners the lead before Scott Sinclair equalised from the penalty spot; the game went into the half time break at 1-1.
Nathan Dyer put the Welsh side ahead in the second half before Theo Walcott brought the match back to all square, however Danny Graham scored the winner less than a minute later.
The loss was disappointing for Wenger, who feels his side could well have won the game.
“We played against a good side and I believe as well we lost the last two (league) games under very special circumstances,” he told Sky Sports.
“We were very unlucky because it was never a penalty and after that I feel as well we were guilty because when you come back to 2-2, we could feel that there was space to win the game.
“Straight away we gave the 3-2. They were a bit struggling at the time and that gave them of course morale again and their keeper kept them in the game after.
“We missed some great chances at 3-2 and in a game like that, you can not afford that,” he concluded.
By Gareth McKnight