The German defender had put his side ahead in the first half, only for Deeney to equalise from the spot before Tom Cleverley handed the hosts all three points with a last-gasp winner.
"I don't know what he said," Mertesacker told Sky Sports News. "I don't pay attention. Anyways it was after the game I think, so I didn't watch it.
"We should concentrate on ourselves first of all - there are so many guys involved and so many opinions, which is fine, but we need to focus on ourselves and learn lessons from that. If we start to listen to too many people it's not worth it, honestly, I need to look at myself and think what could have been done better.
"Afterwards, it's easy to judge and easy to say words and think we are lacking something. We have to think how we can provide better performances, especially away from home, where it gets tight and difficult.
"That is all going on here. I'm not a favourite of listening too much to other guys. I haven't done that in 15 years, I'm not going to do that in my last year."
Next up for Wenger's side is a trip to Red Star Belgrade in the Europa League on Thursday, while their next Premier League encounter sees them visit struggling Everton on Sunday afternoon.