The Gunners would have been knocked out had they conceded another goal, and Wenger claims that his side were struggling for energy following the draw with Everton on Sunday.
"We are happy to be through because it was very difficult. We took it very seriously but in the second half we dropped physically a lot, we had a game on Sunday," Wenger told reporters. "Naples played very well tonight but we were a little bit on edge for some minutes, it was nervous in the end, but we got through.
"The most difficult is when you are in between, do we attack or defend? As long as we didn't score, they had hope."
Arsenal finished second in Group F behind Borussia Dortmund.