The Gunners looked well on their way to securing a place in the last 16 after goals from Mikel Arteta, Alexis Sanchez and Alex Oxlade-Chamberlain put them 3-0 up at the Emirates.
But Anderlecht pulled off a dramatic late comeback to claim a share of the spoils and leave Arsenal five points behind Group D leaders Dortmund with just two games remaining.
"The result is very disappointing," Wenger told Sky Sports after the game. "I think overall defensively we were poor from the first to the last minute today. We had a bit of bad luck because the first goal was offside but then there was a lack of concentration because we thought the job was done.
"When they came back to 3-2 you want to be secure and we were maybe not cautious enough because we wanted to score a fourth. But if you look at the second and third goals it's very poor defending. I was never completely sure that we were not in danger because you could see that for the whole game we did not defend well."
The disappointing result means that Arsenal are now likely to finish second in the group behind Dortmund, who need just a single point from their remaining two games to secure top spot.
While Wenger did not rule qualifying ahead of the Germans, he admitted it is very unlikely now.
"We have to win our next game and see if we have our chance but it's likely now Dortmund will win the group," he said. "Our main priority is to qualify, I am confident because one point should be enough but it's not done yet."