Following a 1-0 loss in the first leg, the Gunners boss was full of confidence that his young side can overturn their trailing, but two early goals at Emirates Stadium shattered his pre-match plans.
"It is the most disappointing (night) because the fans were really up for a big night and to disappoint people who really stand behind the team hurts," said Wenger.
"The most difficult thing was that we do not feel we played a Champions League semi-final because we were out of it after ten minutes.
"The game was over before it started and that is the most difficult thing to swallow. We can only look at ourselves.
"It is very disappointing to fight such a long way to get here and then give the game away like we did. We were ready for a game but after ten minutes it was impossible."
Apart from their exit, Arsenal had their 24-match unbeaten home record in the Champions League ended by their bitter rivals.