Wayne Rooney scored the sixth hat-trick of his Old Trafford career as United went back to the top of the table and left Wenger facing a growing crisis.
“Of course you feel humiliated when you concede eight goals,” said the Arsenal boss. “It was a terrible day.”
Sir Alex Ferguson said: “He has been a big adversary and will continue to be when he gets his big players back.”
Wenger insists it is too early to judge whether his summer transfer policy of so far failing to line up replacements for the departed Cesc Fabregas and Samir Nasri.
But he is now battling to sign urgently needed replacements before the transfer window closes at 2300 BST on Wednesday.
He expects to complete the signing of Monaco’s South Korean striker Park Chu-Young before then and also wants to sign a central defender and midfielder.
After Arsenal’s worst defeat since 1896 when they lost 8-0 away at Loughborough Town in Division 2, Wenger, who became Arsenal manager in October 1996, said: “I do feel it was under special circumstances.
“We had a lot of players out and we have played only five games. It is not the end of the season where you make a balance of everything.”
The Frenchman, who stressed he would not quit, added: “We collapsed physically towards the end but we had eight players out.”
Wenger will now face an increasing clamour to strengthen his threadbare squad.
But he said: “We have to find the right players and if we do we will sign them. We have the money and if we find players to strengthen the team we will do it. If we don’t do it, it is because we haven’t found them.”
Arsenal are now likely to renew their interest in Bolton centre-half Gary Cahill after having already had one bid turned down – but Wenger accepts the criticism he is currently suffering.
“I’m in a public job.” he said. “And I have to accept that.
“I try to make the right decisions and the two players we sold (Fabregas and Nasri) I brought them to the club. In 15 years I have brought some good players.
“You know me, so you should give me some more time to see if I have got it completely wrong.”
Ferguson offered words of comfort when he said: “We live in a cynical world these days and the media are so cut-throat.
“It is hard to understand at times. But the job he has done for 15 years now is phenomenal.
“He has introduced a philosophy of football and a way of playing and has brought in entertaining players and has sold fantastically well. I respect that.”
Arsenal’s next league game is at home to newcomers Swansea on 12 September, while United travel to Bolton on the same day.