The London club were woeful throughout as 16th-placed Palace capitalised, with goals from Andros Townsend, Yohan Cabaye and a Luka Milivojevic penalty making the visitors pay.
"Our fans are very unhappy and they come here hoping to see us win a game," Wenger told Sky Sports.
"Every defeat is a big worry. I've managed over 1 000 games and we are not used to this, it's a big worry. Unfortunately it is like that and we have to respond very quickly and not accept it.
"I am determined to put things right, the worry is not me, it is that we lost a big game and it is a big worry."
Wenger refused to reveal what he told his players in the dressing room, but acknowledged that his side’s top-four hopes have been dealt a major blow.
"What we say in the dressing room remains in the dressing room,” he said. “They won more decisive duels than us. It's damaging of course but top four is difficult for us, it is a difficult defeat and it has consequences on our chances to be in the top four."
The result leaves the Gunners sixth, three points behind fifth-placed Manchester United.