The Gunners needed a point to be sure of seeding for the knockout stage, but, after their defeat at the Stadio San Paolo coupled with a late winner for Borussia Dortmund in Marseille, they are now likely to face one of Europe's leading sides such as Barcelona, Bayern Munich, Real Madrid or Paris St Germain in Monday's draw.
Wenger said: "That is the frustration (not winning the group), because you feel there was room to do better, but it could have been worse as well tonight.
"Of course, to finish second makes the potential draw more difficult. In the last four or five years we have had very difficult draws, so maybe this time we will be more lucky.
"But if you look at the teams who are potentially there, at least we know we will have a difficult draw.
"On the other hand, we have now qualified for a 14th consecutive year for the last 16 and maybe number 14 will bring us a bit of luck."
Wenger added: "But for now we have a little breather to focus on the championship. We have a very difficult game on Saturday morning (at Manchester City).
"We will see what comes out of the draw and will assess that in February, because a lot can change on both sides, on us and the team we play against, so we need to put that to the back of our minds now and focus on the championship."
Gonzalo Higuain, who was a summer transfer target for Arsenal, slotted home on 73 minutes to finally break Arsenal's determined resistance and, after midfielder Mikel Arteta was shown a second yellow card, it was always going to be an uphill battle to get back into the tie.
Jose Callejon chipped in a second during stoppage time but it was not enough for Rafael Benitez's men, who must now regroup for the Europa League.
Wenger said: "I felt in the first half we controlled the game well, and, in the second half, Napoli were the better team.
"We prepared well and were concentrated, but we were a bit in between do we attack or do we defend, so it is difficult to cope with that problem.
"In the second half, I felt that our legs went a little bit and Napoli were sharper physically than us.
"They always looked dangerous and won the game 2-0. They deserved it and were always dangerous.
"When we were down to 10 men and 1-0 down, the doubt crept in a bit, and it was a difficult moment.
"But we managed to keep it to 1-0 until the last minute of the game, and it just shows you that this group had three very good teams, who all made 12 points and goal difference played a big part.
"It was always going to be like that when Marseille took no points - one team was unfortunately going to suffer."
Wenger added: "Saturday was on our mind, (but) we knew to come to Naples would be difficult.
"We have done our job now we will give absolutely everything on Saturday morning."
Wenger feels Napoli will be a force in the Europa League, which is a competition Benitez won when in charge at Chelsea last season.
"They have the quality to win it Napoli, but there are some English teams they will have to fight against as well," Wenger said.
Benitez feels his side can take heart from their performances in Europe, where they have become the first side with 12 points unable to get through from the group stage.
"We try to recover from the mistakes we make, but also when you are 110 per cent motivated, the team are always trying to give something more," said the former Liverpool boss, whose Napoli team tackle another of his old clubs, Inter Milan, this weekend.
"Mentally we can come back stronger from this game, because we showed quality and determination, the atmosphere with our fans was brilliant.
"I feel my team is doing well and we are progressing in the right way.
"The Europa League will be in two months now, so there is time to concentrate on that."
Benitez claimed the Champions League crown while at Liverpool in 2005, and feels Arsenal can make an impact in this season's competition despite the prospects of such a tough draw.
"Arsenal have a group of players with quality and the right mentality," the Spaniard said.
"They are very strong, so I think they can do well in the Premier League and the Champions League
"We talk about teams like Bayern Munich, Paris St Germain, Barcelona, there are a lot of teams who can do very well and for me, Arsenal are one of the candidates who can be there at the end."