Borussia Dortmund ultimately topped Group F by goal difference but, with the trio all sitting on 12 points, Wenger says that the Partenopei can bow out of Europe's elite competition with their head held high.
Speaking to reporters, the Frenchman said: "I feel for Napoli. It was a difficult group and three teams have finished on 12 points.
"One team had to be knocked out but they can feel very hard done by to be that team."
Gonzalo Higuain had fired the hosts into the lead on 74 minutes, before Mikel Arteta's red card provided fresh impetus in their bid to record the three-goal swing.
Jose Callejon had reignited the hope by doubling the advantage in the dying embers but it was not enough to dump the North London outfit out of the tournament.
The draw for the second round of the tournament is scheduled to take place in Nyon on December 16.