Wenger's team are on the verge of a last-16 exit for the seventh straight season after the humbling defeat at Allianz Arena on Thursday.
Arsenal set an unenviable record in the process, becoming the first English club to concede 200 goals in the UEFA Champions League.
Alexis Sanchez had cancelled out Arjen Robben's opener to have the visitors level at half-time, but a brace from Thiago Alcantara and goals from Robert Lewandowski and Thomas Muller closed out a huge Bayern win.
Wenger rued the way his team finished the encounter, with Thiago scoring in the 63rd minute and Muller completing the rout late on.
"The real problems we faced were after the third goal. We lost our organisation and were mentally jaded," the under-fire Frenchman said.
"The last 25 minutes were a nightmare for us. It looked like we had no response."
The loss of captain and centre-back Laurent Koscielny to injury early in the second half triggered the Arsenal collapse.
Wenger said his team needed to deal with the enormity of the defeat, ahead of the return leg at the Emirates Stadium on 8 March.
"Koscielny? I would have loved to keep him on the pitch. After that it is difficult to measure the real impact," he said.
"The fact is, we have to cope with the result. We have an extremely bad result."
Wenger struggled to assess the scale of his team's demise as the Gunners appeared to have no answers for the Bayern Munich onslaught.
"It's difficult to explain," he told BT Sport.
"I felt that just before half-time we played well. We were unlucky on the second goal.
"We lost Koscielny very quickly in the second half, he came off at 1-1. And suddenly it looked like we collapsed. It's difficult mentally. [Bayern] were a better team than us as well. They played very well in the second half."
Pressed on the impact of the French centre-back's departure, Wenger said: "I do not offer excuses. It's an explanation.
"Because we were quite solid defensively. After that it's very difficult - we played everything wrong. The fifth goal showed that.
"These kind of games... you need to be focused for 90 minutes. I felt the third goal was a killer for our players."