The Gunners saw their title defence come to a screeching halt at the third round as Forest ran rampant at the City Ground, leading 2-1 at half-time before competing the victory with another two goals after the break.
"I knew before coming here, it would be a tricky place to go," said Wenger afterwards. "You know when you come back it was important not to make a mistake again - that's why it's disappointing because during the game, we repeated the same mistakes and that's where we were guilty today.
“Once, twice, three times, and at that level, you cannot afford that.
"We were not good enough anywhere, not at the front, not in the middle, not at the back, and we paid for it. They looked sharper, had more chances, and that's all I can say.
“They had an outstanding performance and I couldn't fault any of their individual performances.
"Overall you can congratulate Nottingham Forest for an outstanding performance - sharp, winning decisive challenges, always dangerous going forward and overall they deserved the win today. Simple as that."