Both England internationals hobbled off in the opening 20 minutes at Hillsborough - Oxlade-Chamberlain with a hamstring problem and his replacement Walcott due to a calf problem - and the extent of the injuries will not be determined until they have a scan within the next 48 hours.
The Gunners’ night got worse after those withdrawals as a superb Wednesday side blew their below-par opponents away thanks to goals from Ross Wallace, Lucas Joao and Sam Hutchinson.
Wenger made eight changes to his side, but still named the likes of Petr Cech, Mathieu Debuchy, Oxlade-Chamberlain and Olivier Giroud in his starting XI.
And the Frenchman is ruing playing so many big names, despite the poor performance in South Yorkshire.
“The injuries are two muscular injuries, how big the damage is I don’t know,” Wenger said.
“We have to make scans and we have to wait 48 hours for the scan. It’s was a bad night at the office for us. We lost the two players and after that we were not good enough.
“I have to manage the workload of the players and at the end of the day I still think I maybe brought too many experienced players here.
“We lost two players and after that I had Gabriel (Paulista) and (Nacho) Monreal on the bench but I couldn’t bring them on because I couldn’t afford to lose any more players.
“I am concerned, we have a big game on Saturday (against Swansea), we have Bayern in the Champions League coming up, already now we are short.
“To lose two players tonight is damaging for us, two offensive players. Ideally we would have loved to win, but with the squad we have got now, we cannot keep in all the competitions.”
Wednesday were well worth their victory at Hillsborough, as they gained revenge for the 1993 League Cup final defeat to the Gunners at Wembley.
The Gunners were not able to cope with the dynamic nature of the Owls’ display and boss Carlos Carvalhal, who has overseen a nine-game unbeaten run in all competitions, knew his side were too good on the night.
“I am very happy about the victory, I think we deserved it,” he said. “Everything belongs to the players, they were fantastic, we put a plan together and they did it 100 per cent.
“I am very happy about the players and for the club, it is an important victory for the club. It was a full stadium, with a new generation of fans. We deserved what we got.
“When you play against a club that beats Bayern Munich, they have a squad full of internationals, they are near the top of English football, there is a big gap.
“There is still a big gap. We know they are nine times better than us as a minimum, On the pitch we were better than Arsenal tonight, but we are not better than them.”