The Gunners trailed Reading 4-0 after 37 minutes, but later stormed back to reach the last eight of the League Cup with a stunning 7-5 victory in extra time.
"I'd like to give credit to our supporters because when we were 4-0 behind they stayed with us," said Wenger. "To those who left, I give less credit.
"At one point all we had was hope because it didn't look like we'd go through."
Arsenal's reward for their remarkable win is a trip to League Two promotion hopefuls Bradford City.