The Gunners should have snatched victory in injury time but Mikel Arteta saw his spot-kick saved by Mark Schwarzer.
"It was frustrating because we had the opportunities to win. We were caught in a bit too comfortable of a position because we did the most difficult thing - we scored two goals to go 2-0 up. At that moment we lacked urgency defensively," said Wenger.
"In the second half we gave absolutely everything and I have to give credit to the players, in the last three games what they have done physically is amazing. Even at 3-2 down we didn't give up and continued to go forward and we had the chances to win the game."
Early goals from Olivier Giroud and Lukas Podolski put the Gunners in control, just as they had been in their Champions League game at Schalke on Tuesday night, only for the Germans to fight back.
It was a similar story again as Fulham rallied after Dimitar Berbatov reduced the deficit and it was no surprise when Alex Kacaniklic levelled before half-time. The visitors then went ahead from the penalty spot when Berbatov slotted home after Mikel Arteta had fouled Brian Ruiz.
Although Giroud quickly levelled at 3-3, the Gunners could not find a winner despite the stoppage-time penalty award for handball.
Wenger, though, refused to lambast vice-captain Arteta for not dispatching the last-gasp spot-kick. "You cannot blame Arteta for that. It is part of the game. Who hasn't missed a penalty?" the Arsenal boss said.
Cottagers boss Martin Jol admitted he had "so many mixed feelings" about the final result of such a dramatic encounter.
"We played some fantastic stuff," he said. "Before the game we said we would try to dominate them which is hard here, but we managed that. I can't remember being 2-0 down - especially here - then being 3-2 ahead and we could have scored two or three goals after that. I really thought this could be the first time ever to beat them away, but in the end it was not to be."
Source: PA
Source: PA