The Gunners brought home a 2-0 lead following a strong away performance in Milan in the first leg of the round-of-16 tie, and managed to beat the Italian side 3-1 at the Emirates despite going a goal down.
However, Arsenal's equaliser sparked controversy, as Welbeck appeared to dive in the penalty area after minimal contact by Milan defender Ricardo Rodriguez.
"I haven't seen it again," Wenger told reporters in the post-match press conference. "Do you want to accuse English players of being divers?
"There's two things: was it a penalty or not? I don't know. The Italian players were unhappy with it. I can understand that, because I don't really know what it was.
"After that, Danny took the penalty in a convincing way, and I will watch it again and give my honest feeling about it."
Arsenal are through to the Europa League quarter-finals, with the draw taking place later today.