The French manager appeared irritated with Spanish referee Alberto Mallenco, who awarded Olympiakos a corner that led to the Greeks' first goal after ruling that Szczesny had touched the ball.
"It was a very, very bad decision against us," Wenger said. "I don't like to say anything about the referee, but I would like at least for them to concentrate on the job ... I don't want to make too much fuss about it so we have to take it on the chin."
Wenger said he replaced Rosicky at halftime with Andrey Arshavin as a precaution, with the Czech veteran having recently returned from a six-month injury absence.
The Greeks were already destined for the Europa League.
"It's fair to say we are not happy because we were already out of the Champions League. But we wanted a win tonight and to make the fans happy — and we did that," Olympiakos coach Leonardo Jardim said.
"It's true that our league starts late and that cost us in the early games ... every coach and every player wants to be in the Champions League. Now we must focus on the Europa League."
Olympiakos' standout defender Costas Manolas shared the frustration.
"It was a great night for us. It's a shame we were out of the Champions League, the way we played. We fought hard and came from behind," Manolas said.