Here's what we learned about Arsenal on the night:
Wenger must build the team around the Ox
You will not find one pundit, supporter or even Arsenal player who could fault Alex Oxlade-Chamberlain's performance on Wednesday night. The England man was simply sensational - and, at 20 years of age, it is not too soon to suggest that Wenger should build this team around the Ox.
Forget £42 million man Mesut Ozil or the experience of Mikel Arteta and Mathieu Flamini, Oxlade-Chamberlain is Arsenal's future. This revelation, of course, is nothing new - but the midfielder's potential was further confirmed in Germany with his fearless approach.
Aaron Ramsey is yet to return from injury, with the Welshman absolutely shining for the Gunners this season, while Jack Wilshere also has a bright future ahead of him. But the Ox has the ability to become Arsenal's main threat.
One signing won't fix things - the Gunners need time to gel
If there was one thing Arsenal's 1-1 draw with Bayern proved on Wednesday, it was that there is no quick-fix to the problems Wenger is faced with.
Remember when the north London side would beat the likes of Real Madrid, AC Milan and Inter Milan convincingly in Europe? That was as much the result of team chemistry and years together as it was first-class signings.
Arsenal were second-best in this tie ever since Wojciech Szczesny was sent off in the first leg - and one or two big-money signings would never have changed that. Instead, the Gunners boss must stick with his current crop and simply do what he used to be known for - coaching them until they become winners.
Vermaelen can be trusted at left-back
A surprise star at the Allianz Arena was Thomas Vermaelen. The 28-year-old made tackles left, right and centre and managed to subdue Arjen Robben and Phillip Lahm for the most part. They still had a lot of joy - but they didn't manage to create any goals. No, Bayern's only goal of the night came from the opposite flank.
Vermaelen, then, looks as though he can be trusted at left-back, perhaps giving Wenger an interesting tactical alternative for the Premier League and FA Cup run-ins. If Kieran Gibbs is injured and Nacho Monreal off form, Belgian Vermaelen looks capable of redeeming his Arsenal career down the left.
Podolski can play a big part in Arsenal's season - if Wenger lets him
As well as scoring the goal that almost gave Wenger's men the hope they needed to take the game to Bayern in the second half, Lukas Podolski completely dominated Javi Martinez on Wednesday night.
Arsenal legend Ian Wright may have said he wanted to see more from the German but, in truth, only Oxlade-Chamberlain could be said to have been more effective than Podolski.
If Wenger is willing to give him a chance, the 28-year-old showed he is capable of playing a big part in Arsenal's season at the Allianz Arena, while his near-post strike for the goal was truly world class.
Arsenal don't need Mandzukic
On an undoubtedly glum night for the Gunners, there were, as we can see, still a number of positives. And an interesting source for one of them was the performance of Mario Mandzukic.
Linked with a move to north London once Bayern announced the pending signing of Dortmund striker Robert Lewandowski, the 27-year-old hardly looked a step up in class from Olivier Giroud in Germany on Wednesday.
That might just come as good news for Wenger and the Arsenal board, as they can perhaps focus their resources elsewhere and, not for the first time, save some money.
What did you learn from Arsenal's elimination at Bayern's hands?