Wenger acknowledged his Arsenal team "collapsed" as they suffered a second 5-1 defeat in successive Champions League seasons at Allianz Arena.
The Gunners came from 1-0 down to go into the break level at 1-1 away to the Bundesliga champions, Arjen Robben opening the scoring and Alexis Sanchez responding for the visitors in the first leg of the round-of-16 tie.
The loss of captain and centre-back Laurent Koscielny to injury early in the second half appeared to prove fatal, though, and acted as the trigger for a disastrous spell which saw Thiago Alcantara score twice and both Robert Lewandowski and substitute Thomas Muller hit the back of the net.
Speaking to BT Sport, a downcast Wenger struggled to assess the scale of his team's demise.
"It's difficult to explain," he said.
"I felt that just before half-time we played well. We were unlucky on the second goal.
"We lost Koscielny very quickly in the second half, he came off at 1-1. And suddenly it looked like we collapsed. It's difficult mentally. [Bayern] were a better team than us as well. They played very well in the second half."
Pressed on the impact of the French centre-back's departure, Wenger said: "I do not offer excuses. It's an explanation.
"Because we were quite solid defensively. After that it's very difficult - we played everything wrong. The fifth goal showed that.
"These kind of games... you need to be focused for 90 minutes. I felt the third goal was a killer for our players."
Asked if the defeat marked his lowest moment as Arsenal manager, Wenger replied: "What I feel is not the most important thing but of course it's disappointing. We have to recover first and focus on our next game."