The Gunners started 2013 with a whimper on the south coast, rarely threatening in a game the relegation-threatened hosts looked more likely to win.
Gaston Ramirez opened the scoring for Saints after 34 minutes but Guly do Prado's own goal seven minutes later saw Arsenal secure a 1-1 draw.
It was an unusually poor performance from the visitors and Wenger made his disappointment abundantly clear afterwards.
"Considering our performance and the result of the game, I don't think we deserved more today [Tuesday]," the Arsenal boss said.
"It is two points lost if you look at the overall target we had for Christmas. It is frustrating and disappointing as we didn't create a lot today [Tuesday].
"After having scored five at Reading and seven against Newcastle, when you sum it up today [Tuesday] with all the chances we created there is not a lot to consider.
"Our game lacked purpose, penetration and speed, all qualities we have usually but that we didn't see tonight [Tuesday]."
Wenger was clearly irritated by his side's attitude and blamed their mental approach on Tuesday night, saying there was a lack of "sharpness".
"It is nothing to do with physical side," he said.
"Maybe we thought we scored seven against Newcastle, we thought we would score again today [Tuesday], we scored five at Reading, we would score again today [Tuesday].
"A game of that magnitude we had to play today [Tuesday] against a Southampton side that was really highly determined.
"I felt that we lacked purpose in our game and it was more mental than physical."
As disappointed as Wenger was, he was quick to praise a Southampton side vastly improved from one beaten 6-1 at the Emirates Stadium in September.
"We prepared normally, we prepared well, and Southampton deserved some credit as well," the Frenchman added.
"We have to give them credit as well, they fought for every ball and were on their toes.
"They were fighting until the last second for every single ball.
"We did not have enough quality to take them out of position and take advantage of that."
As well giving his players a dressing down, Wenger also used the post-match press conference to reveal Thierry Henry will not be rejoining the club this month.
The 35-year-old club record goalscorer returned to the Emirates Stadium on a short-term loan this time last year and had been lined up for a similar move this January.
However, after much talk, Wenger revealed he will not be returning to the north Londoners.
"I think he goes away somewhere," he said.
"He is not ready, he has just come back from holiday anyway. At the moment we are not on that case."
Asked for clarification, he said: "No (it is not happening)".
Tuesday night's result leaves Arsenal fifth in the standings, while Saints move out of the relegation zone on goal difference.
"It just shows things are close at the bottom," Southampton manager Nigel Adkins said.
"One victory or result and it's going to keep fluctuating.
"The performance on the back of the Stoke performance demonstrates everyone's working hard and fighting for each other.
"It's only two defeats in 10 games, which is important, but look at how far we've come.
"We got a good hiding down at the Emirates at the start of the campaign - six against us.
"We've got a growing maturity about the players and the performance underlines how far we have come in growing into the Premier League.
"When you look at it Arsenal have been beating teams out of sight of late but the goal was a deflection and Artur Boruc's not had anything to do in goal from that point of view.
"We had a good shape about ourselves and we were tactically bang on in restricting Arsenal to limited opportunities and when we had the ball we created good opportunities ourselves."