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The Gunners have been in awful form in recent weeks and lost 2-1 to Brighton on Saturday.
But they secured a crucial Europa League win tonight following goals from Henrikh Mkhitaryan and Aaron Ramsey.
Speaking after the clash, Wenger said: “It is an important win of course after we had a nightmare week.
“Overall it is important to win, but it is not qualification.
“We have to finish the job at home. I am happy with the spirit and response we gave.
“We were not in a position to take risks, but we could not be too cautious as you lose fluidity. We defended with resilience until the end.
“When you play in a cup final it is hard to digest in a few days.
“When you are knocked down like a boxer you don’t have time to react and you are only halfway up, but you have to respond.
“Your pride and desire to show quality has to come through in the game.”
Arsenal have faced criticism in recent weeks for a lack of character in their ranks.
He said: “We started well, we got a couple of goals in the first half and we have shown we have plenty of character in the team.
“It is never easy to come to the San Siro and play AC Milan, we came here before and lost 4-0.
“We played well in the first half and moved the ball well and kept a clean sheet.
“We have been on a bad run, but sometimes you train hard and it does not work, but we know what we are capable of.”