The Gunners were chasing a new striker throughout the transfer window and the Argentine, who eventually left Los Blancos for Napoli in a £34.5m deal, was one of their primary targets.
Higuain will line up against Arsenal in the Champions League on Tuesday and while Wenger missed out on the 26-year-old's signature, the Frenchman has hinted that he pulled off an equally good capture from Madrid with the £42m arrival of Mesut Ozil.
"We were working on two or three targets and he (Higuain) was one of them," Wenger told the club's official website. "It didn't come off in the end, that doesn't take anything away from his quality.
"Napoli took advantage of that at the right moment, it's more about timing as well. In the end Real Madrid sold two great players, one of them went to Napoli, one (Mesut Ozil) went to Arsenal so it's 1-1 on that front."
Higuain has scored four times in his first six appearances for the Serie A outfit, including one in their Champions League win over Borussia Dortmund earlier this month.