Early in the second half, Mohamed Salah doubled Liverpool's advantage at the Emirates Stadium before goals from Alexis Sanchez, Granit Xhaka and Mesut Ozil - all within the space of five minutes - put the Gunners into the lead.
Roberto Firmino would eventually earn the visitors a share of the spoils in North London, but Wenger has praised the spirit of his side after a thrilling encounter on Friday night.
The Frenchman is quoted by BBC Sport as saying: "The good thing is that overall we did not give up. The spirit is fantastic. On that front, I am proud of the players.
"It shows a strong mentality. We have the capacity to respond. What you want is for the team to realise that we have to start from the first minute.
"More for people who love football, let's give credit to the creative force. If you have no shots on goal the defences look good but that is not what people want to see."
Liverpool and Arsenal remain in fourth and fifth place respectively in the Premier League table.