The Gunners came from 4-0 down to defeat the Royals 7-5 at the Madejski Stadium on Tuesday and progressed to the quarter-finals.
"There were so many turning points," Wenger is quoted as saying by the BBC.
"I believe that our first goal at 4-1 was important, and when Olivier Giroud moved to a very offensive 4-2-4 we started to create chance after chance and then we got the miracle goal in the last minute.
"You cannot play for Arsenal and give up. The players understood that at half-time. Give them credit they responded very well. The first set is for us, it was a tennis game today."
The draw for the fifth round of the League Cup will take place on Wednesday.