The Germany international has endured a difficult debut season at the Emirates and was taken off spot-kick duty after his miss from 12 yards in the Champions League last 16 against Bayern Munich.
|4/6||Arsenal are 4/6 with William Hill to finish in the top four in 2014/15|
Wenger told Arsenal's official website: "I had a funny feeling not to go to penalties. I tried desperately not to go to penalties because I did not have many players on the pitch who were specialists at it. I tried to go for it before the end.
"It paid off but we had a horrible feeling for a long time in the game and in the end it was a relief. The job is how it finishes, all the rest nobody cares.
"Especially [taking off] Cazorla [was bold]. I must tell you Ozil I would not have put him on the penalty list, but Cazorla is a serious penalty taker and that’s why I was hesitant.
"I was worried by the decision I was making because I had two strikers on the pitch. Jack is not a penalty taker, Rosicky is not a penalty taker. Giroud had cramp so it was difficult.
"The other problem I had was the hamstring of Gibbs. Before the end of the game, he had a hamstring problem and so I waited as long as possible but I tried to win it before the end."
Arsenal's win at Wembley signalled an end to their much-publicised nine-year trophy drought and Wenger could now sign a new contract in the near future.