The Gunners went down with all guns blazing losing their Round of 16 tie 4-3 on aggregate to AC Milan after a superb fightback ended in a 3-0 win in the second leg at Emirates Stadium which took them frustratingly close to saving the tie.
Arsenal were attempting to become the first side in European history to overturn a 4-0 first leg deficit and qualify, but although they fell just short after goals from Laurent Koscielny, Tomas Rosicky and a penalty from Robin van Persie, Wenger was not totally downbeat.
"We are disappointed because we touched qualification, we had the chances, and although we didnt do it, we were very close," he told reporters afterwards.
"But the players gave a faultless performance with a fantastic spirit and you can only congratulate the whole team."
Looking ahead to the next two months, and asked if they could finish high enough to qualify for next season's competition, he said: "We are on a good run in the league and it will be difficult - I don't deny that.
"Tonight was a big disappointment for the players. But the team has grown well together, and hopefully from here we can finish the season strongly because there is no room for disappointment at the moment in the league.
"Every point is a battle until the end of the season and that is what is in front of us.
"But our target is possible because we are four points behind Tottenham, though we have to go step by step because we have another big game on Monday night against Newcastle and we take it game by game."
Arsenal, who have come from behind to beat their arch-rivals Tottenham 5-2 and Liverpool 2-1 in their last two league matches and have won their last four in the Premier League, are fourth, four points behind Spurs with 11 matches to go.
IMPROVED FORM
Although they are now set for a seventh straight season without a trophy, their form has certainly improved.
With Spurs showing signs of vulnerability and with fifth-placed Chelsea in transition following the exit of manager Andre Villas-Boas, the odds of Arsenal booking a 15th successive Champions League appearance look promising.
"We need to win our games and look at the results of teams like Tottenham to catch them up, but for us, its clear - we have to win our games," Wenger said.
If Arsenal play like they did in the first half on Tuesday, they should have no problem winning most of those remaining games.
They never let Milan settle, went for the jugular from the start with the likes of Rosicky and Alex Song closing opponents down in midfield and teenage prospect Alex Oxlade-Chamberlain superb in a central midfield role.
Wenger was full of praise for the 18-year-old, who was playing in only his fourth Champions League game. If the immediate future looks encouraging, the long-term one looks even brighter if he develops as expected.
"For him, he has never played at the top level in midfield, he started straight away in a decisive Champions League ga
