Wenger had switched to a five-man defence at the break but his side were consistently under pressure, until Danny Welbeck struck a fine goal 15 minutes from time to kill the home side's momentum.
Atletico Madrid are also through, and remain the favourites to win the trophy in Lyon next month - they were beaten 1-0 on the night away to Sporting Lisbon but progressed 2-1 on aggregate.
"When they scored their second goal we were a bit on the ropes but it was a good response from us".
"I feel that maybe we were a bit surprised by the intensity at the start", he said.
The game was evenly poised for most of the opening stages of the first half, although chances were hard to come by in the opening 20 minutes.
But Arsenal ended any doubt with quarter of an hour left as Welbeck played a brilliant one-two with Elneny before finishing sweetly into the corner to reduce the deficit on the night and extend their lead in the tie. "We missed a lot of movement, to be available for our team-mates". They played well, had opportunities and took them.
Arsenal are sixth in the Premier League and have little chance of qualifying for the Champions League via a top-four finish so the Europa League is their last hope.
"Looking at all the results as a whole picture in Europe this week, you would say that teams have become closer and the games are very open and everything is possible in every single game, " he added.
"You could see when you have a big difference after the first game it's hard to turn up with the same urgency than if a difference is very small and that played a part in the way we played in the first half", said Wenger.