The under-pressure Frenchman said there were no excuses as the Gunners faced a seventh successive last-16 exit after the latest mauling.
"We conceded the second goal and then the most important thing was that we lost Laurent Koscielny (to injury). We collapsed mentally," said Wenger who will face fresh calls for his resignation.
"I am not looking for excuses. Overall I must say they were a better team than us, they played very well in the second half and we dropped our level.
"They were better than us, well done to Bayern. Their third goal was a killer -- we had no response. It is a shock of course to lose at this level."
Wenger refused to discuss his personal mood after the match.
"How I feel I don't think is the most important but of course it is disappointing," he said although pundits thought otherwise.
"He looked particularly wounded. I feel for him -- he almost needs to be protected from himself," former Arsenal defender Martin Keown told BT Sport.
"This is a massive low point for him. This brings forward the change that looks likely at the end of the season."
Arjen Robben opened the scoring after just 11 minutes at the Allianz Arena when the Dutchman beat Arsenal goalkeeper David Ospina with a fine left-foot strike into the top corner.
Chile international Alexis Sanchez levelled for Arsenal on the half-hour, hitting in a rebound at the second attempt after he had a controversial penalty saved by Manuel Neuer.
But Robert Lewandowski restored the German side's lead after 53 minutes, heading in a cross from Philipp Lahm with Thiago Alcantara adding a third just three minutes later.
Thiago piled on the misery for Arsene Wenger's men with his second and Bayern's fourth just after the hour with substitute Thomas Mueller adding a fifth two minutes from time.