The normally confident Frenchman even admitted that his side were as good as out ahead of the second leg in North London in three weeks time.
It was the Gunners' heaviest ever defeat in European competition and Wenger was not about to defend it.
"We were never in the game, we were very poor both offensively and defensively," he said.
"It was shocking to see how we were beaten everywhere, it was the worst performance in Europe by far.
"There was not one moment during the 90 when we were really in the game.
"What made it worse is that we had to chase the game and open up our game and they always caused the same problems with balls over the top.
"We were well beaten, it's difficult to analyse, it's better not to talk too much and to analyse it with a cooler head and regroup for the next game."
With their last chance of silverware the FA Cup and a tough away fifth round tie at Sunderland - albeit they beat them 2-1 last weekend in the Premier League match - and the North London derby to come afterwards at home to high-flying and in-form Tottenham at the weekend, Wenger could ill afford such a performance.
"We will focus on our next games, the result is a disaster but the season is not finished," he insisted.
"We've a very big game on Saturday (against Sunderland) and a good opportunity to show we have the character and mental strength and can respond after such a shocking defeat."
However he refused to blame his players.
"They didn't let me down, we let our ambitions down as a unit. You could blame and blame and blame but we have to stick together and win the next game," he added.
"The players were very ambitious in this Champions League and they are the first to be very sad.
"We felt powerless today to get really into the game.
"I cannot say I did everything perfectly when we lose 4-0, I don't believe we did any big tactical mistakes, there were not many other choices.
"We were weak in some departments, we knew before the game that we could have some problems in some areas but I didn't feel we wouldn't score."
Wenger was in a sober mood and wasn't about to demonstrate any bravado, being more concerned with how his team will respond.
"There is a danger of course that a big disappointment like that can have consequences on your belief," he said.
"We have a lot of work to regroup and not a lot of time to prepare for Saturday's game.
"We need to show something completely different on Saturday.
"Let's be realistic, we don't play in a dream world. We have maybe a two or five percent statistical chance.
"We have to show a completely different performance, you never know but realistically we'll be out of this competition."
Wenger may have writted off his side's chances but Milan coach Massimiliano Allegri remained reserved.
"The lads played well as a team, we didn't give much away and consequently did very well in attack," he said.
"We did very well, especially in getting the ball forward and we did very well when Arsenal had the ball.
"We deserved this night and win and I'm happy."
In fact he was even concerned that his side hadn't scored more and put the tie totally to bed.
"We had many opportunities to score more, that's disappointing because when you have the chance to score you must do so, especially in the Champions League where there's a return leg.
"We will have to do well to play similarly to tonight.
"It was our best performance this year.
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