The Gunners face Bayern Munich in the Champions League on Tuesday night and Wenger had made several changes, with Jack Wilshere, Theo Walcott and Santi Cazorla all starting on the bench.
Even so there should still have been enough quality to see off the npower Championship side, with Gervinho missing a great chance at the end of the first half and Abou Diaby's goalbound header saved by Rovers goalkeeper Jake Kean.
Czech winger Tomas Rosicky crashed a 25-yard effort against the bar and then moments after Wenger had made a treble substitution, Rovers snatched the lead on 72 minutes through Colin Kazim-Richards' scrappy effort after Wojciech Szczesny had parried Martin Olsson's shot.
Arsenal pressed for an equaliser, and Kean somehow saved a close-range header from Walcott before Olivier Giroud's effort in stoppage-time was blocked as Rovers clung on for a famous win.
Saturday's defeat was a first against lower-league opposition in the FA Cup for Wenger, who also saw his team beaten on penalties in the Capital One Cup quarter-finals at npower League Two Bradford.
"We had 11 international players on the pitch at the start of the game. We had a lot of the ball and [Blackburn] defended well. We had 16 shots at goal, they only had one shot at goal," he said.
"We made a massive mistake on the goal and we were not good enough to win the game, it is as simple as that.
"Not one defeat is acceptable. You are in this job to win every single game."
Arsenal now face the possibility of an eighth season without silverware, unless they can come through in the Champions League.
The home fans vented their frustrations as boos rang out around the Emirates Stadium at the final whistle.
"You do not want your fans to be happy when you lose at home to Blackburn when the team has one shot at goal," Wenger said.
"It is very painful and very disappointing to lose a game like that. What is important now is to focus on the next one."
Wenger added: "The season is not over. For you maybe, not for me.
"If we feel sorry for ourselves we would be completely wrong. We have a massive game on Tuesday night and we have to show that we [have] some response in the team."
Rovers boss Michael Appleton hailed this afternoon's achievement as the "highest point" of his short managerial career.
Appleton - who started the season in charge at Portsmouth and then had a short spell with Blackpool - paid tribute to the efforts of his side.
"To come to Arsenal and get through a cup tie is one thing, but to keep a clean sheet and defend as well as we did is another, and that is testament to our players. We have two man-mountains in the centre of defence," he said.
"We had a feeling they might rest a few of their players because they have a big game on Tuesday in the Champions League.
"However, regardless of what side they were going to put out, we knew we would concede a lot of possession at times, but we are happy with that.
"We have a mentality now where we are hard to beat, and are resilient.
"It has been almost getting into the heads of the players to take pride in keeping clean sheets and enjoy defending, which people do not like doing at times, we also have a bit of quality as well."
Kazim-Richards was once on the books at Arsenal as a youngster, before beginning his professional career at Bury, with spells at Brighton, Sheffield United, Galatasaray, Toulouse and Olympiacos following before his latest loan move to Rovers.
Appleton said: "Kaz has been fantastic for the last five games and has played in a couple of different roles.
"I am delighted he got the reward today for all of his work, it was not his greatest of strikes, but I think he was just trying not to welly it into Row Z and got the bit of luck he deserved."
Appleton admitted it was some achievement to have enjoyed three cracks at the FA Cup this season with as many clubs.
"Everyone knows the trouble which came with the job at Pompey, and I had a brief stint at Blackpool when I ended up with a 1-1 draw at Craven Cottage in the last round, then was lucky enough to win at Derby, but this is the icing at the top of the cake," he said.