The Gunners left it late to break the Greek resistance...
Prior to Robin van Persie's 78th minute strike, the London club had been profligate in front of goal, and risked only earning a point for all their domination. Andrei Arshavin scored the second to wrap up their second group stage win in as many games.
Wenger, who will become the longest serving Arsenal manager in history next week, said that despite the missed chances, he was happy with the way his team dominated the match.
He told Sky Sports: "I believe we played a great first half and of course had plenty of chances, at that level.
"When we couldn't maintain that flow, that pace, in the second half, I knew that the difference would be made in the last 20 minutes.
"Then of course it is a case of discipline, patience and fitness. I think in the end the legs were a bit heavy, but we maintained because we wanted to win so much.
"You always want your team to take every chance but you also know that is not always possible. But I am encouraged by the way we dominated the game - that is something outstanding at that level.
"It is of course frustrating when you don't take complete advantage of it but it is very positive."
Following the reports that Arsenal have enjoyed a bumper profit, Wenger also took time to reiterate that he was happy with his squad and did not see the need for further signings in January, citing that he was sticking to his well-known youth policy.
"We got very young players, and they make their name here,'' said Wenger.
"Robin [van Persie] is now a big name, he was less a big name when he arrived. When you look at the players who did not play tonight, you can see why we are not desperate.
"Because the club have announced good financial results, everybody wants me to splash it out straightaway. But at the moment, there is no transfer market. You do not go to Waitrose, there is no supermarket to buy players. You cannot buy anybody, even if you want to. It is closed."
The French manager also paid tribute to livewire forward Arshavin, who he felt inspired the win against a very defensive Olympiakos side.
Wenger added: "When you play against 10 men in one half, it is very important to have players who can play in a very short space, and Arshavin is a specialist in that.
"He was sharp and determined. In this type of game, he is always a threat."
Philip Wen, Goal.com UK