They missed a series of excellent chances, particularly in the first half when they regularly shredded a Russian defence yet to concede a goal in the competition.
Cesc Fabregas, Robin van Persie and Tomas Rosicky were all guilty of woeful efforts when it seemed easier to score and even the master Thierry Henry could not find the target.
"The normal score in this game is 7-0, maybe 7-1," Wenger told a news conference.
"I don't think tonight we could be guilty of trying to score the perfect goal -- we created clear-cut chances, we dominated this Moscow team by miles. There was a division's difference between us but we have to take the result."
BEST PERFORMANCE
The Frenchman, though frustrated, was also delighted with the way his side went about their business.
"In the first half it was the best performance by an Arsenal team in the Champions League," he said. "We took them out of position six or seven times.
"I've just seen the highlights on TV and we had nine clear-cut chances to win the game.
"But there's no point making an obsession of it. Sometimes you create chances and they don't go in. You cannot coach when you are five yards out and miss but you can help the players to get over that."
CSKA lead Group G on eight points with Arsenal and Porto on seven after the Portuguese side's 3-1 win in Hamburg.
With a tough trip to Porto to finish their group games, last season's runners-up still face a tough battle to get through.
"The team is a at crucial moment, they could really explode and be sensational if we keep the belief and get the frustration out of the way and we could score five or six," said Wenger.
"I feel this team has great potential and it's how we mature in the coming months that will decide whether we win a trophy or not."
CSKA coach Valery Gazzayev was delighted to escape with a point that left his side in the driving seat in the group.
"Arsenal played very well and we were not so good today and had some luck," he said. "We got a bit overrun in midfield but we changed things round and it was better in the second half."
Asked if the 2005 UEFA Cup winners could reach the knockout phase, Gazzayev said: "There are three teams in with every chance so it's difficult to say. We have to play Porto at home while Arsenal play them away and maybe that will help us."
