Bradford were full value for the win having dominated an Arsenal team that looked far from up for the game and it is testimony to Bradford City that they pulled of a great achievement.
Meanwhile Wenger says his side should not be embarrassed by their defeat but he might just be kidding himself.
The Gunners lost 3-2 on penalties after snatching a late 1-1 draw in normal time at Coral Windows Stadium. Bradford though are the penalty kings, having never lost a penalty shoot-out over nine events since 2009.
"We did absolutely everything for 120 minutes and you have to give credit to Bradford," said Wenger.
"You feel embarrassed when you don't give everything, I think they'll be more disappointed and frustrated."
Wenger selected a strong side for Tuesday's tie but they were unable to exert themselves on the hosts and needed an 88th-minute equalising goal from Thomas Vermaelen to send the game to extra-time after Garry Thompson had given the home side the lead in the first half.
But the Frenchman refused to criticise his side, who have won just one of their last six games in all competitions.
"It was a great cup tie on a tough pitch and I cannot fault the effort from my players," said Wenger. "It was a typical English cup tie and Bradford got on top of us.
"They started stronger than us and congratulations to them.
"We played with basically five strikers but couldn't score. You have to say they defended very, very well. In a cup tie any team always has a chance.
The defeat has added to the speculation that Wenger's time at the Emirates may be coming to an end. In truth though, whilst this a blip the Gunners still have Premier League top four aspirations and the Champions League to look forward to. Wenger has bounced back before and it seems unlikley that he will be leaving from where we sit.