The Gunners secured their passage into the last 32 of the Europa League despite failing to win for the first time in Group H.
Wenger made 11 changes from the side that defeated Swansea City in the Premier League at the weekend, goalkeeper Matt Macey handed a first European start as a replacement for Petr Cech in a largely inexperienced line-up.
Macey helped secure the point by tipping Vujadin Savic's first-half header onto the crossbar, while Jack Wilshere had a shot cleared off the line by Damien Le Tallec in the second period.
Wenger did not feel his side deserved more than a point and hopes his less experienced players can use the match as a lesson.
"They started stronger than us. They played well tonight, at a high pace and were dangerous on the break. They defended very well," said the Frenchman.
"We dominated possession in the second half, played more in their half, but lacked a bit of quality in the final ball. I'd say it is a fair 0-0.
"In the end, we didn't see goals and people aren't used to not seeing goals here. It's frustrating when you don't score, but we have understanding with many young players in the team. That's part of the learning process, to play these types of games.
"Red Star can be very proud of their performance tonight - not many teams come here and don't concede goals.
"You could see tonight was a very intense game. With the number of games we play, I'll continue [with the rotation policy] at the moment."
Wilshere has only made one appearance in the Premier League this season but produced another solid display in the Europa League.
Wenger expressed his belief the 25-year-old deserved a spot in the England squad prior to him being overlooked by Gareth Southgate on Thursday, and he reiterated that confidence following his snub.
"What Jack needs it to be injury free for a long period, until the end of the season, and to get games like that. Maybe next time [he will make the England squad]," added the Gunners boss.