The Gunners were last night missing several key men in the Nou Camp - like captain Cesc Fabregas, Andrey Arshavin and Alex Song - and saw their dreams of European glory ended by a master class from Messi.
The Argentina forward lived up to his billing as the best player in the world with four superb goals after Nicklas Bendtner had fired the Gunners into a shock lead on 18 minutes.
The defeat leaves Wenger having to pick his men up for the trip to Tottenham next week, where Arsenal must win to maintain hopes of the Premier League title.
"The defeat is very difficult to handle because when you go out of the Champions League, the next day you are in front of a very empty future," he said.
"We have to deal with the disappointment and make sure we are ready for the next game.
"Of course you worry because it is a big disappointment and we have to recover quickly because we cannot drop any points. That is why we have to recover and try to focus on the Premier League completely.
"For us over the years White Hart Lane has been a place where we have done well, so we will not go there with a negative history - but it forces you to focus straight away because you know it will be a derby."