The Gunners boss endured a 1,000th match in charge to forget as the rampant Blues effectively ended the encounter as a contest with three goals inside the first 17 minutes, after which the visitors played with 10 men following the sending-off of defender Kieran Gibbs in a case of mistaken identity.
Arsenal simply had no answer to the desire of Jose Mourinho's men, who pressed a high line from kick-off and, after Olivier Giroud's tame shot from just inside the Chelsea box was saved by Petr Cech, soon took command with fine goals from Samuel Eto'o and Andre Schurrle.
Gibbs was then given his marching orders by referee Andre Marriner, who thought it was the defender who had saved Eden Hazard's shot with his outstretched arm instead of guilty man Alex Oxlade-Chamberlain - an error for which the official later apologised.
Hazard stroked home the resulting penalty, with Oscar making it 4-0 at half-time.
The Brazilian slotted home another just after the hour, before substitute Mohamed Salah scored his first Chelsea goal since joining in January.
Wenger described the manner of Arsenal's capitulation as a "nightmare", but believes the ideal way to exorcise those demons is with a strong response in their rearranged Barclays Premier League match against the out-of-form Swans at the Emirates Stadium.
"What is important is to give a response on Tuesday night and that is it. I don't believe it is the time to talk too much about (what went wrong)," Wenger said.
"The players are deeply disappointed as we all are, but now I think let us prepare for the next game.
"We can win the next game, so that is what we have to focus on now and give a strong response.
"We are in a situation now where after such a disappointment that the next game becomes vital."
A statement was issued from governing body the Professional Game Match Officials Limited on Saturday evening, in which Marriner acknowledged his mistake.
The Football Association has confirmed Arsenal, or indeed the governing body itself, could appeal against the sending-off on the grounds of mistaken identity, with the suspension likely to be transferred to Oxlade-Chamberlain - who had approached the referee to tell him he was to blame at the time, but was waved away.
However, the Gunners could also subsequently launch an appeal on the grounds the handball had not in fact prevented a clear goalscoring opportunity as Hazard's shot looked to be going just wide.
Wenger said: "The referee made a mistake because he missed the identity of the player, he has not seen what happened at all.
"Maybe it was a penalty, but it was not Gibbs."