A year to the day after a 3-1 home loss to Bayern, goalkeeper Wojciech Szczesny was sent off and second-half goals from Toni Kroos and Thomas Muller saw Bayern prevail 2-0 at the Emirates Stadium.
Again the Gunners travel to the Allianz Arena facing a gargantuan task, but Wenger would not dismiss his side's hopes.
"It isn't over because we will fight until the end," Wenger said.
Had Mesut Ozil scored an early penalty things might have been so different and there was a temporary reprieve when David Alaba also failed to net from 12 yards following Szczesny's foul on Arjen Robben.
Wenger believes the concession of a spot-kick was punishment enough and it was unnecessary for Italian referee Nicola Rizzoli to show a straight red card.
"It killed the game," Wenger said.
"These rules are different in every country. In Italy they send off for these kind of fouls.
"Our keeper went genuinely for the ball. He touched Robben, who made certainly more of it. I told him (Robben).
"Wojciech misjudged the situation, there was no clear desire to make a foul, he misjudged the ball.
"The game delivered what it promised at the start. The game was until then top quality and in the second half I think it was, for neutral people, boring.
"It was one-way traffic and the referee made a decision that basically killed the game."
Szczesny made an obscene gesture when leaving the field which may invite UEFA action.
Wenger did not see the Pole's reaction and also was not aware of an incident involving Robben and Bacary Sagna.
Arsenal defender Sagna believes social media talk of the Dutchman spitting on him was false.
Sagna said: "I don't think so. Things went well with me and him."
Wenger was critical of Bayern for over-exaggerating contact, but Pep Guardiola refused to counter the Frenchman and debate the Szczesny incident.
Guardiola said: "I don't answer my colleagues. I saw on TV, it's a penalty.
"(Szczesny was) the last player and the referee decided it's a penalty. The rules say (a foul by) the last man is a red card."
Wenger admitted Ozil's failure from 12 yards, when Manuel Neuer saved a weak penalty from his Germany team-mate, impacted on the playmaker's performance.
"He was affected by it," Wenger said. "You could see even five, 10 minutes later on the pitch he still was shaking his head."
In contrast, Kroos was brilliant for Bayern.
Guardiola said: "I like players with personality. They take the ball and they want to play and play and play.
"Toni was great. An incredible goal. I'm very happy with his performance."