Wenger watched his side fall 4-0 behind after just 38 minutes against Reading before a magnificent comeback led to a 7-5 result in the Gunners' favour.
Theo Walcott inspired the away side, scoring a hat-trick including a stoppage-time equaliser to take the match into extra time in a League Cup classic.
The Gunners boss said that he thinks McDermott should be proud of his team's performance and not dwell on the negatives.
He told reporters: "[Reading] had a fantastic first half. I know what it is to be pulled back when you're 4-0 up.
"It's happened to me as well. They should take credit from that performance and not be too disappointed.
Newcastle United infamously recovered a four-goal deficit against Arsenal in February 2011 in one of Wenger's lowest moments as Gunners boss.