Kevin-Prince Boateng opened the scoring after 15 minutes, while a brace from Robinho either side of half-time put the result beyond doubt before a late penalty from Zlatan Ibrahimovic left Arsenal with a mountain to climb in the second leg at the Emirates on March 6.
The attacking trio of Boateng, Ibrahimovic and Robinho immediately looked threatening.
After Clarence Seedorf was forced off due to injury early on, Ibrahimovic beautifully controlled a pass into the path of his replacement, Urby Emanuelson, but the Netherlands midfielder skewed his shot from inside the box over the crossbar.
It did not take long for Boateng to do significantly better. Picked out by Alberto Nocerino’s chipped pass, the Ghana midfielder engineered a brilliant volley from the right-hand side of the penalty area that hit the crossbar on its way in.
Arsenal soaked up pressure for much of the first half, but there was little the visiting defence could do seven minutes before half-time, when Ibrahimovic broke away from what looked like an offside position down the left-hand side.
The 30-year-old nudged the ball past Bacary Sagna and delivered for the arriving Robinho, who headed beyond Wojciech Szczesny.
Only a desperate challenge from Sagna prevented Ibrahimovic from converting with a diving header from close range, as Milan ended the half very much in the ascendancy.
Thierry Henry, playing his last game for Arsenal before the end of his loan spell, was introduced in place of Theo Walcott at the break.
If Wenger was hoping for any kind of fairytale farewell, he was brought back to reality four minutes after the restart when Robinho, taking advantage of Thomas Vermaelen’s slip, latched on to Ibrahimovic’s pass across the edge of the box and fired past Szczesny from 20 yards.
Milan began to enjoy themselves with the security of a three-goal cushion, Philippe Mexes feeling confident enough to dribble ambitiously out of defence on more than one occasion, until Robin van Persie fired them a warning shot after 65 minutes.
The Netherlands forward met Henry’s flick with a sweetly-struck volley that Christian Abbiati did very well to turn around the post.
Massimiliano Allegri was quick to react, introducing an experienced head in the form of Massimo Ambrosini to shore up the Milan midfield as Arsenal began to enjoy more of the ball.
Ibrahimovic has taken plenty of criticism during his career for his perceived underachievement in these types of matches, but he was magnificent here and created himself a deserved goal as the game drew to a close.
Drawing a clumsy challenge from Johan Djourou in the penalty area after some typically elegant close control, the Swede coolly converted from the spot to rub salt into the Arsenal wounds.
