The arrival of the duo breathed new life into the Gunners, who managed to find a winner as Aaron Ramsey got the goal to end their nine-year trophy drought.
"I had a funny feeling not to go to penalties," Wenger told the club's official website. "I tried desperately not to go to penalties because I did not have many players on the pitch who were specialists at it. I tried to go for it before the end.
"It paid off but we had a horrible feeling for a long time in the game and in the end it was a relief. The job is how it finishes, all the rest nobody cares."
Wenger will reportedly commit his future to the club by signing a new deal before the start of the World Cup.