Following Manchester United's exit to Real Madrid, there will be no Premier League sides in the quarter-finals of Europe's elite club competition for only the second time since the introduction of a group stage in 1994-95.
Chelsea, who beat Bayern in last season's final, and English champions Manchester City both failed to progress through to the knockout stages.
Wenger said: "It is a long time since that happened, that means the rest of Europe has caught up on us.
"We have to take that into consideration when we think about the future of the Premier League. It is a massive disappointment for English football, for a number of years we are not used to that.
"It is a massive wake-up call for us because we had Manchester City, Manchester United, Chelsea and us all out before the quarter-finals."
Wenger could not help but reflect on a sense of what might have been after answering some of the critics with a battling display to topple Bayern on their home ground.
Trailing 3-1 from the first leg, it was always set to be Mission Impossible for Wenger's beleaguered side in Bavaria and so it proved despite a heroic performance to beat the runaway Bundesliga leaders.
Oliver Giroud fired in after just three minutes and Bayern were kept at bay by some fine saves from stand-in goalkeeper Lukasz Fabianski, preferred to fellow Pole Wojciech Szczesny.
Defender Laurent Koscielny headed in to level the tie on aggregate with four minutes left, but there was to be no fairytale ending as the Gunners were knocked out on the away goals rule.
