The Gunners boss disputed the free-kick which led to Chelsea defender Alex opening the scoring 28 minutes into the Premier League encounter at the Emirates Stadium.
Didier Drogba had won it, and Arsenal captain Cesc Fabregas was cautioned for dissent at suggesting the Ivorian had dived.
Asked if he believed Drogba had indeed taken a tumble, Wenger said: "We live in a league now where the divers are rewarded. It is not right, but it is like that.
"I do not want to go into any individual assessments. It is down to the referee to do his job.
"I don't think it (the free-kick) should have been given, but that doesn't mean we shouldn't win the header after that. The referee will make some decisions for you or against you, but we should still have cleared the ball from the cross."
Despite a second crushing home defeat in the space of a week, having also gone out of the Champions League to Manchester United, Gunners boss Wenger maintained it was not "all doom and gloom".
"We have to take some distance, because it was not a 4-1 game today," he said.
"Going forwards we were very interesting and created plenty of chances, and should have been 2-0 up, but were caught.
"We missed seven or eight clear chances and had every mistake punished by a team of quality."
Wenger added: "Our chances to finish third are over, but this result will not have any other influence other than that.
"We conceded three against Manchester United and four today, so we have to improve the way we defend.
"In the games that mattered in the last three or four weeks, we could not win. That is what we have to analyse."
Arsenal major shareholder Alisher Usmanov has claimed the club must "step up" their transfer dealings this summer if they want to compete.
Wenger, though, maintained: "You would not like to come out and say we will buy four defenders.
"It is more a question of balance in the team rather than individuals."
Wenger added: "At the moment, I don't know what funds will be available. I will be told by the club.
"We have to continue to improve, but the areas where it is right.
"It is not necessarily about quantity of money."