United scored twice in the final five minutes to pull off an unlikely comeback in Italy.
Ronaldo scored a stunning opener on the hour mark after he volleyed home Leonardo Bonuccis ball over the top and the 33-year-old celebrated wildly against his former club.
The forward apologised to the away fans shortly after his celebration, acknowledging that perhaps he got caught up in the moment.
Ronaldo took a dig at United afterwards by claiming they didnt deserve the victory and were seeking set pieces to equalise.
However, Wenger believes the real reason Ronaldo was upset was that he knew his goal would no longer be the main talking point from the match.
It is such a fantastic goal, it surprises us all, we have seen so many games but were still surprised because he does the unexpected, Wenger told Bein Sports.
He has a short backlift, it doesnt take him time to hit the ball and even the keeper didnt move, De Gea has fantastic reactions but even he didnt lift a hand.
He [Ronaldo] will go home tonight, believe me, absolutely gutted because a goal like that will not be highlighted because they lost the game.
This goal, with a 1-0 victory, would have been all over the world tomorrow.