However, due to injuries during the match, teenagers Glen Kamara and Alex Iwobi were joined by Ismael Bennacer to form Arsenal's midfield for most of the game.
The trio failed to deal with the intensity and relentless nature of Sheffield Wednesday who dominated proceedings.
"The level was too high for the young players. They are not ready to play at this level," Wenger told reporters.
"There are many good players in the Championship and to play young players against Championship players is very difficult because the level has gone up.
"If you play with not a lot of experience, you don't have a chance to win the game.
Wenger rued the loss of England international duo Alex Oxlade-Chamberlain and Theo Walcott to injuries during Tuesday's game.
Oxlade-Chamberlain picked up a hamstring injury after he appeared to roll over the ball awkwardly and was forced off inside five minutes.
Things took a turn for the worse as his replacement, Walcott, had to leave the field just 13 minutes later after sustaining a calf injury.
Walcott has been given the nod over Olivier Giroud this season and is in fine form, scoring seven goals in 16 appearances for club and country so far.
Wenger hopes Arsenal can avoid an injury crisis, with key games against Swansea City and bitter city rivals Tottenham Hotspur in the Premier League and the Champions League match against Bayern Munich.
"Oxlade-Chamberlain and Walcott are two muscular injuries. Walcott is a calf and Oxlade-Chamberlain is a hamstring. How big the damage is, I don't know as we need to wait 48 hours to have them scanned," Wenger said.
"It was a bad night at the office. We lost the two players and after that, we were not good enough.
"But we have a big game on Saturday (against Swansea), a game at Bayern coming up and already we are short, so to lose two offensive players tonight is damaging for us."
(Reporting by Shravanth Vijayakumar in Bengaluru; editing by Sudipto Ganguly)
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