Wenger made nine changes at the City Ground and his fringe players went down 4-2 to the mid-table Championship side.
The Frenchman criticised his team after the holders relinquished their grip on the trophy, with Wenger experiencing defeat at the third-round stage for the first time since taking charge of the north London club in 1996.
Wenger insists the Gunners, who last week signed Greek defender Konstantinos Mavropanos, will do further business during the transfer window in an effort to turn things around, but said no deals were imminent.
“I cannot give you any news on any transfer because we are not close to signing anybody,” he said.
“We signed a Greek boy (Mavropanos) who looks quite good in training but apart from that, we have not done anything. Will we be out there to do something? Yes we will.”
Asked whether there could be developments this week, Wenger said: “Yes, because we are in the second week of January and, after that, it passes quickly.”
Meanwhile Aitor Karanka has been appointed as Forest’s new manager on a two-and-a-half-year contract.
The Spaniard replaces Mark Warburton, who was sacked at the end of last month, and takes over with Forest 14th in the Sky Bet Championship.
Academy boss Gary Brazil oversaw the goalless draw at Leeds on New Year’s Day, and Sunday’s 4-2 victory against Arsenal in the FA Cup third round was his last match as interim manager.
Karanka has been out of work since he was sacked by Middlesbrough in March.