Watford scored inside the opening 13 minutes through Younes Kaboul and Troy Deeney to control the affairs at Emirates Stadium. Despite Alex Iwobi’s second-half strike, the Gunners went down for the first time in 2017.
The Tuesday result leaves them nine points behind Chelsea.
The Frenchman told Sky Sports, “We are never in a position where you must lose.
“You always want to win and that’s the next game.
“We want to respond to our disappointment tonight and produce a good performance.”
Wenger added that the loss was a missed opportunity with Chelsea dropping points at Liverpool, “Of course but you make your league position with your own performances, not the other results.
“The other results only come once you have done what you had to do.”