A hat trick from Santi Cazorla and goals from Theo Walcott and Lukas Podolski helped the Gunners easily dispatch the Royals at the Madejski Stadium on Monday evening.
And the Frenchman expressed delight at the manner of the north London side's win, following a disastrous Capital One Cup exit in midweek.
"We focused on playing the game. At 4-0 we had a little wobbling period. And at 4-2, after what happened last week, we became a bit uncertain. We lost a bit of focus and paid for it.
"But overall it was important to go out and play and give the right answer on the football pitch."
The 63-year-old also hailed Theo Walcott's performance in a central striking role and confidently predicted that his team will continue to improve.
"In training sessions he has shown the abilities to play in this position - the timing of his movement - and for his first game I think he has done very well. There are very encouraging signs," Wenger added.
"We had pace, that was the target in the build-up to the game and overall we gave them many problems through that.
"I said many times I believe in this team and the players want to do well. In the league - apart from the Swansea game - we have been quite consistent but we need to go from strength from strength.
"It's been difficult [the past week], you'd prefer it when everything goes well. It's been interesting also - you discover who is strong and you discover who can remain united and on that front in the club we were very good.
"In 16 years we went out just once against a team from a lower division . If you compare that record to all the other clubs in England it is still the best record.
"I agree that it was hurtful, and very disappointing. But on the night Bradford did very well. I am responsible for when it goes well - and I have to take the criticism when it doesn't go well."