Wenger made the comments following Arsenal's 1-1 UEFA Champions League last 16 draw at Bayern on Tuesday, which saw the London club exit the competition 3-1 on aggregate.
Robben won a penalty late on in the game - subsequently saved by Lukasz Fabianski - and also earned his side a spot-kick in the first leg at the Emirates Stadium in an incident that saw Wojciech Szczesny sent off and suspended for the second.
The incidents prompted criticism from Wenger, but Robben has since hit back.
"I always say if you are a big manager then take your loss," he said after Tuesday's match. "If you win be happy, enjoy, but if you lose don't, complain about silly things.
"It was two penalties but I don't want to defend myself.
"From a big manager you expect a little bit more."
