The Gunners were reduced to 10 men in the 18th minute when Costa went to ground easily under a clumsy challenge from Mertesacker.
Costa later scored the winning goal at the Emirates Stadium.
In the clubs' first meeting at Stamford Bridge this season, Arsenal defender Gabriel Paulista was dismissed for retaliating in a scuffle with Costa, and the Blues won 2-0.
"Costa got two players off in two games on our side, so he's clever," Wenger told Sky Sports after the game. "In the first game he got Gabriel sent off and today he got Mertesacker sent off with a tackle, regular or not. Did he touch him or not? I have to watch it again. But the fact is a fact, I do not accuse him of anything, it's just what happened."
Asked by the BBC in a separate interview if Costa had made the most of the opportunity, Wenger said: "That's a bit the game of a striker, and Diego Costa is good at that as well."
The Frenchman felt his team responded well to their numerical disadvantage but was disappointed they could not salvage a point.
"It's a shame to put such an energy level into a game and come out without a point. Overall I felt that we gave absolutely everything until the end. We should come out of the game with at least a 1-1 even down to 10 men," Wenger said.
"We had many opportunities, maybe not clear-cut but you think one of them we should take. That's a regret, that the team put in so much energy and we come out without any point. Of course we had a mountain to climb with 10 men, but even there I believe that there was enough room there to come out with at least a 1-1."