Deeney duly converted from the spot and Watford would go on to claim all three points as Tom Cleverley grabbed the winner in added time.
Deeney, however, had a different view, suggesting that the Gunners lacked the bite to compete physically against the high-flying Hornets.
"I've heard Wenger's already blaming [the penalty] as the reason for why they lost," Deeney told BT Sport.
"Well, I'm not going to be one to tell Mr Wenger about himself, but there's a reason that they lost and it wasn't because of one penalty.
"I have to watch what I say, but it's [having] a bit of cojones, is what I'll say. Whenever I play against Arsenal, I'll go up and think 'let me whack the first one and see who wants it.'"
Watford have made their best start to a top-flight season after eight games since their maiden campaign at this level in 1982-83, accruing 15 points so far.