The Emirates Stadium club suffered a 3-1 defeat in north London through goals from Toni Kroos, Thomas Muller and Mario Mandzukic, with only Lukas Podolski responding.
And Arsenal, who were dumped out of the FA Cup by lower league Blackburn Rovers at the weekend, are now facing an uphill task to recover at Bayern in the second leg on 13 March.
"Let us not hide the truth, it will be very difficult," Wenger, whose own future has been questioned, told Sky Sports after seeing his side beaten by the Bundesliga leaders.
"But we will try to make the impossible, possible.
"We have to go there and play completely like we play at home. We have to try to change the score. The third goal makes it very difficult but we have to try."
Wenger had spent his pre-match press conference angrily responding to criticism and reports about his own future, claiming, 'you will miss me when I am gone'.
It has become a regular occurrence for Arsenal to be scrutinised in an inconsistent campaign but the Frenchman has indicated he could relish a siege mentality ahead of the second leg against Bayern.
"We are the underdogs - you just need to read the English press to understand that," Wenger said on Arsenal's official website.
"We have pressure, because we want to do well and we want to win. I believe that whether you are favourites or underdogs, what counts is to play well, make a good pass when you have the ball and defend well when you don't have the ball. All the rest, in our job, you have to take a distance from it.
"What is important is that when you play to win a competition, at some stage you have to play a big team.
"If I listen to your questions, we are not favourites but I trust our quality, our spirit and our mental strength."