The striker joined the Gunners from Manchester United on transfer deadline day and played for 88 minutes as the game ended in a 2-2 draw.
Welbeck came close to scoring when he hit the post in the first half, and Wenger believes that the England star caused his opponents plenty of problems all afternoon.
"He did well. I believe that he needs to develop his link play with our players but that is a bit normal," Arsenal's official website quotes Wenger as saying.
"It's sad that he couldn't take his chance but overall every time he had an opportunity to find some space he looked dangerous.
"There are some things to work on with him to integrate him well into our game but I'm happy with his first game."
Arsenal are currently eighth in the Premier League table.