The Swans completed a surprise 1-0 victory at the Emirates, with Bafetimbi Gomis' 85th-minute header ending Arsenal's 10-match unbeaten run.
Gomis' effort was one of just three attempts on target that the Welsh outfit managed in the game, leaving Wenger to claim that they had arrived in London with only one thing on their mind.
"We were unlucky I think against a team who refused to play completely and just defended," Wenger said. "We've scored plenty of goals until recently.
"In the last two home games we didn't score and that was frustrating when you have so much of the ball and play with such accuracy around the box.
"They defended well. They came just to defend with four defenders and six midfielders, and they defended. That's it.
"If you win, you're fantastic but if you lose people say to you, 'Why did you not play?' They won so they are fantastic."
The defeat is a big blow to Arsenal's hopes of finishing second in the Premier League standings, with the Gunners now three points behind Manchester City – although they do have a game in hand over the Citizens – and just two clear of Manchester United. Next on the agenda is a clash with the Red Devils on Saturday, and Wenger has underlined the importance of getting three points.
"It's very important to finish in the top three," he said. "We still have a game in hand. What is crucial is to respond on Sunday and show that it was an accident today. That is the most important thing."