The Gunners came from two goals down to defeat Hull City at Wembley and end a nine-year trophy drought on Saturday, with goals from Santi Cazorla, Laurent Koscielny and Aaron Ramsey sealing victory for the north Londoners.
And Wenger has backed his victorious players to "come back stronger" next season.
"This was more important than all the others," he said "We have twice won the double, but were not under pressure then like we were today.
"This is an important moment in the life of this team; to lose today would have been a major setback, but winning gives us a good platform to come back stronger next year."You have to accept that the Premier League is very tough.
"If you look at the top four this year, you do not have Man United, no Tottenham, no Everton - all these clubs have invested a huge amount of money and the clubs who won the Premier League have invested an incredible amount of money so it is difficult to beat them. But we try."
Wenger also hailed his side for their run to cup glory, with the Frenchman claiming their fixtures were "amazingly difficult".
"Looking back at our run it was amazingly difficult because we played Tottenham, Liverpool, Everton, Wigan in the semi-final - which was very difficult - and today," he added.
"If you play against any Premier League team they can pass the ball, they can create chances, they can score from set pieces and we have seen that today."
And Wenger also claimed there was "never a question" of him leaving the Emirates, with the 64-year-old set to sign a new deal in the coming weeks.