"We are on a good run in the league and it will be difficult - I don't deny that, because tonight was a big disappointment for the players,'' Wenger said.
"But the team has grown well together that hopefully from here we can finish the season strongly because there is no room for disappointment.
"Every point is a battle until the end of the season and that is what is in front of us.
"Successive league victories over Tottenham and Liverpool have cemented Arsenal's grip on fourth place on the table, and they are only four points adrift of Spurs having trailed them by 10 points less than two weeks ago.
"Wenger was cautious about the prospect of Arsenal reeling in Spurs over the closing months of the league season.
"Our target is possible because we are four points behind Tottenham, but we have to go step by step because we have another big game on Monday against Newcastle,'' Wenger told reporters.
"We take it game by game and we need to win our games and look at the results of teams like Tottenham to catch them up, but for us, it's clear - we have to win our games.''
Wenger meanwhile had few complaints about Arsenal's elimination, which he attributed to a poor performance in the first leg that left his side with too much ground to make up.
"We are disappointed because we touched qualification, we had the chances and, although we didn't do it, we were very close,'' Wenger said.
In Tuesday's other match, Benfica produced a professional performance to beat Russian champions Zenit Saint-Petersburg 2-0 on the night _ 4-3 on aggregate _ to end a three-game winless streak and make the quarters for the first time since 2006.
Coach Jorge Jesus believes the Portuguese side can go all the way and win the trophy for the third time and first since 1962.