The Gunners came from behind twice to take all three points at Stamford Bridge, with much thanks going to striker Robin van Persie following his sensational hat-trick.
Wenger concedes that despite the win, the north London outfit made their own mistakes, but insists he would not change the team’s attacking style of play in order to let in fewer goals.
He told reporters: "It is [torturous], because we gave them too much room, too far in midfield, exposed on long balls over the top, so you can only hope you do not pay too much for it.
"And it was a bit test mentally because conceding before half-time can be deadly, but the way we responded was very pleasant.
"A team like Chelsea play in an offensive style, with top quality players to do it. They play with [Juan] Mata, [Fernando] Torres, [Daniel] Sturridge, Ramires in the box and [Ashley] Cole and [Jose] Bosingwa as wingers.
"People always complain. Let's praise the strikers and the attacking style in the league.
"If you don't score goals, people ask why you don't score goals. If you score goals, they criticise the defenders.
"At the moment I would say it is more down to the attacking style. Do I prefer it? Yes, of course.
"There is still some room for improvement defensively. In the first half [on Saturday] we were too vulnerable. Chelsea missed some chances, so we can still improve.
"But it is important to go away from home and score five at Chelsea, because not many teams can do that."
The Frenchman believes the game at Chelsea is a turning point in their so far lacklustre season, but warned his players that they have not won anything yet.
"At the time, you want them to be happy," he said. "There is a need for us to communicate with our fans again and that was a good chance, we wanted that.
"After that, we have won nothing. We must just use it as a springboard to go further towards our target. The players know that. We have more experience than we have had in the last five or six years. The players know.
"It was the first big win together. In their heads there was uncertainty about whether they can win a big game."
Arsenal play Marseille on Tuesday evening in a game that could see them progress to the knockout stages of the Champions League with two games left go in the group, and the former Monaco man will possibly rotate his squad, with a handful of names returning to full fitness.
"I am tempted to do it [stick with team]. Sometimes if you take a team on a roll, there is no need to change it," added Wenger.
"When a team is on a positive experience, why not? That is what I have to decide.
"I did it (rested players) away from home, at Donetsk, and got punished last season. But we want first to qualify. I did that when we were qualified, and we paid a heavy price. But you could finish first and still play Barcelona."
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