The Gunners' campaign suffered another setback yesterday when a scrappy second-half goal from former trainee Colin Kazim-Richards sent them crashing out at home against Blackburn, despite having plenty of chances to put the tie beyond the npower Championship side.
It was far from ideal preparation for next week's crunch Champions League visit from the imperious Germans - and Wenger accepts his men need to take a long hard look at their mindset.
"I think we have a great team, but this shows that we still have to show more maturity on the mental front. We have to understand what it means to win big games, and this was a big game for me," said Wenger, who suffered FA Cup defeat at the hands of lower league opposition for the first time.
"I am the first to stand up and say I am responsible for the team selection, but that is not an excuse: if we cannot beat Blackburn like that, I don't think it is down to the selection of the team.
"The top level is about consistency in every single game and that is what we could not show.
"Coming after the Sunderland game we came out with a flat performance and that shows that, mentally, we are not capable at the moment of preparing in exactly the same way for every game.
"Maybe they still thought 'okay, we are playing at home against Blackburn, it will be difficult, but we will win the game anyway' - it doesn't work like that."
Arsenal now face an uphill battle to end their eight-season trophy drought, with any hopes of a sustained challenge in the Barclays Premier League long over.
"It is (always) vital for us to fight for silverware, but unfortunately this one will not happen for us now and we can only look at ourselves and not complain about anything else," Wenger added.
"Now it is vital for the end of our season that we respond in a strong way on Tuesday night."
At his pre-match press conference on Friday, Wenger had suggested were Arsenal to come through over two legs against the runaway Bundesliga leaders - runners-up to Chelsea in Europe last season - then they would gain the confidence to go on and win the competition.
However, after yesterday's shock defeat he stressed: "Just now it would be a bit pretentious to say that [we can win the Champions League], but you never know.
"We have to give it a good shot on Tuesday night and see where we stand afterwards.
"The players are really hurt, but now you have to take it on the chin and come back with a strong response. That is all we can do."
Midfielder Jack Wilshere, who came on as a substitute with 20 minutes to go, just before Blackburn scored, cut a forlorn figure at the final whistle.
The England international, though, maintains the squad have no option but to pick themselves up and raise themselves for another stern character test in just a couple of days.
"We know what this trophy means in England and we wanted to go all the way, but now we have got to regroup," he said.
"We have got a big game on Tuesday and we need everyone behind us.
"We have beaten big European teams here before so we need to do that again."
Wilshere feels Arsenal can draw on the progress made by Chelsea last year, despite their inconsistent Premier League displays.
"Chelsea weren't having a good season and they got a bit lucky in some games, but showed great character. We need to do that now and come together as a team," he added.