Jonathan Walters scored from the spot 14 minutes from time to extend Arsenal's winless run at the Britannia Stadium to four matches.
Liverpool's 3-0 victory over Southampton later in the day capped off a difficult weekend for Wenger, who pulled no punches in his assesment of what it means for their title tilt.
"It's not (just) slightly worrying; it's a big worry for us to lose a game like that. It's a massive setback, of course," said the Frenchman.
"To win a title, when you're expected to perform, you have to perform, it's as simple as that."
Arsenal's next three league games could prove crucial as they take on three other teams in the top five - Tottenham, Chelsea and Manchester City.
Wenger's men currently sit third in the table, four points behind leaders Chelsea, but fourth-placed City have two games in hand on their rivals.
