Arsenal enjoyed 78 per cent of possession and had 28 shots in the first leg of the Europa League semi-final but failed to make the most of their opportunities.
Atletico Madrid were reduced to 10 men after just nine minutes when Sime Vrsaljko picked up a second yellow card.
Arsenal knocked on the door but had to wait until the hour mark when Alexandre Lacazette headed past Jan Oblak.
The Gunners went on the hunt for a second but conceded an away goal in the 82nd minute when Antoine Griezmann made the most of some slack defending to fire home.
Arsenal will go into the second leg at the Wanda Metropolitano as underdogs but Wenger believes they should already have one foot in the final.
He said: “Looking at the performance and the way the game went, it was the worst possible result for us, but we have to go there in a positive mood and qualify.
“Unfortunately we gave a goal away from nowhere but now we need to recover from the disappointment and prepare for the next game.
“Of course it feels like an opportunity missed. We could have qualified tonight but it didn’t happen. Their keeper made a lot of saves and they showed their quality by scoring with one chance. But they couldn’t score with a combination, they could only do it with a long ball, so we have to look at ourselves.”
Arsenal must score in the second leg to stand any chance of progressing but Atletico Madrid have not conceded a goal at home since January.
Wenger said: “You don’t look at the statistics, you can only look at your own performance and we know we can score from anywhere.
“What matters is that we go there with the belief to do it.”
Danny Welbeck echoed Wenger’s comments about Arsenal’s profligacy in front of goal but urged his team-mates to stay positive ahead of next week’s second leg.
“It’s disappointing to concede a goal at the end after taking the lead,” he said. “We will do our own analysis on their goal and make sure it doesn’t happen again.
“This game is done now and there were opportunities for us to score more against a good side, so we have to be positive going into the second leg.”
The Europa League represents the last chance for Wenger to win a major trophy at Arsenal.
Welbeck said: “It’s a semi-final – we wanted to win before the manager announced he was leaving and we wanted to win it after.
“We are professionals but seeing him lift the trophy would be the icing on the cake.”
