At 0-0, Pierre-Emerick Aubameyang was denied from close range by a last-ditch tackle from City right-back Kyle Walker before Pep Guardiola’s side took the lead through Sergio Aguero.
“I felt we were unlucky to be 1-0 down at half-time,” Wenger said.
“We made a defensive mistake and missed an unbelievable chance at 0-0 so it was frustrating. In these types of games, playing against a side of that calibre, to be 1-0 down is difficult."
City doubled their lead through captain Vincent Kompany just before the hour mark, and from then on it seemed like there was only going to be one winner.
“[The second goal] was a changing point in the game and after that they were in control," the 68-year-old said. "They were nervous in the first half and overall I think the second goal played a big part in the final result.”
A defeat in a final is always a disappointing result, and unfortunately, this game was reminiscent of a previous result that halted Wenger and Arsenal's attempt to win a major trophy.
“We had the chances and I am very disappointed but it made me think about playing Barcelona in Paris [2006 Champions League final] when we missed the chance in the first half,” Wenger commented.
“Against a team of that quality, it is important to take your chances straight away.”
Midfielder Aaron Ramsey also spoke to the media after the game and highlighted the errors that allowed their Manchester City to score.
“We wanted to try and win the game but we made a silly mistake which led to the first goal and that we disappointing,” the Welshman said.
“It’s always difficult when they take the lead and they’re such a quality team. They deserved the win today.”
Despite the negative result, Ramsey believed that things could have gone differently.
“We were determined from the beginning," he added. "We created a couple of opportunities and their keeper made a great save on one of them.
“Perhaps we could have taken the lead, but we can’t afford to concede goals in the way that we did today.”