The heavy defeat on Saturday lunchtime ruined Wenger's 1,000th match in charge and severely dented any title ambitions, with the Gunners now down in fourth place, albeit still with a match in hand on the leaders.
Wenger's team appeared to have learned no lessons from their 6-3 defeat at Manchester City earlier this season and the subsequent 5-1 mauling at Liverpool - where they trailed 4-0 inside 20 minutes - as Arsenal were torn apart by Jose Mourinho's rampant Blues during a blistering opening spell.
The French coach is expecting a response against Swansea on Tuesday night, but admits he needs to get to the bottom of why the players again failed to deliver a big performance when it was needed the most.
"We felt we prepared properly, but we did not turn up, so it is puzzling," Wenger said.
"After 20 minutes, it was game over and it became a long, dramatic and dreadful afternoon.
"That is the most disappointing, when you prepare with the intensity that we do, you then turn up for your game of the season and are never even in it.
"This is puzzling because we were shocked and knocked down basically without feeling you have had a chance.
"The team is healthy and willing, but still the way it happened against Chelsea, we have to think deeply about because it is not the first time and (we have) to respond in a proper way on Tuesday."
Referee Andre Marriner has apologised for sending off Arsenal defender Kieran Gibbs in error following a handball by midfielder Alex Oxlade-Chamberlain on 17 minutes, which saw Eden Hazard roll in Chelsea's third goal from the penalty spot to effectively end the match as a contest.
The suspension is now likely to be moved onto midfielder Oxlade-Chamberlain, who admitted he had committed the handball to the referee at the time, but was waved away.
Arsenal, though, could subsequently then appeal against that decision as it looked as if Hazard's shot was actually going just wide, so the offence was not technically preventing a clear goalscoring opportunity.
Wenger said: "You would not like to see Gibbs suspended because he has done nothing.
"The first injustice would be that he had been sent off and then on top of that he would be suspended, (so) of course that would be wrong."