Before the game, Owls manager Carlos Carvalhal said his side needed to catch Arsenal on an off day.
And he certainly got that as the Gunners found themselves 2-0 down at half-time with injuries to Alex Oxlade-Chamberlain and Theo Walcott rubbing salt in the wound.
Things got worse in the second half when ex-Chelsea defender Sam Hutchinson made it 3-0 on 52 minutes.
Arsenal had briefly topped the Premier League over the weekend after their 2-1 win over Everton.
But they did not look like potential champions on this showing, deservedly losing to a team sitting ninth in the Championship.
415 caps between Arsenal side
Anyone seeing the scoreline for the first time will assume Wenger fielded a team of youngsters which had backfired.
But he may be wishing he did after watching a vastly experienced side lose so easily.
That's because the team he did send out had an astonishing 415 international caps between them including a World Cup winner.
Yes Arsenal rested influential trio Alexis Sanchez, Santi Carzola and Mesut Ozil.
Lack of experience no excuse
But just two of the Gunners' starting XI could be deemed inexperienced in the shape of Alex Iwobi and Glen Kamara.
Joel Campbell has been in and around the first team and has 40 international caps to his name for Costa Rica. He also played at the Brazil World Cup.
The spine of the team included Petr Cech, World Cup winner Per Mertesacker, Mathieu Flamini and Olivier Giroud and with the likes of Keiran Gibbs, Calum Chambers and Mathieu Debuchy also in the side it should have been more than enough to see off Wednesday.
Wenger's men just weren't at the races, though, and instead slipped to their biggest defeat to lower league opposition since 1959.
Perhaps Arsenal have their eyes firmly fixed on a first Premier League title in 12 years given how open the league has been so far this season.
Achieve that and Gunners fans will certainly forgive their team this embarrassing slip-up.