The two clubs have become great rivals in recent seasons and Arsenal drew 1-1 at the Brit on Saturday.
"We prepared to face a battle," Wenger told arsenal.com. "We don't only come to play our game. When you come here you have players like [Peter] Crouch in front of you and you are tackled on every second ball.
"We prepared for that and we try not to be disturbed and keep our calm and composure. We managed to do it for a big part of the game but not always.
"It is not only one approach. They do well at what they do and I respect that. They did well in Europe."