A first-half penalty from Robin van Persie gave the Gunners a slender advantage to take back to Italy in a fortnight's time.
However, the tie should have been over but for some poor finishing as both Nicklas Bendtner and Emmanuel Eboue missed golden chances to extend the advantage.
"That is the regret we have tonight. I am happy with our performance, but of course there was room to score more goals," Wenger said. "From tonight we know we can create chances. You never know what a good result is in the European Cup.
"One of the positives is we didn't concede a goal.
"It's put us in a position where we know we need to attack over there. If we score once that should be enough."
Arsenal - who are now unbeaten in 14 games - again had plenty of possession and played at a high tempo, but were not able to find a telling pass to unlock the visitors' stretched backline.
"Our pace gave them problems in the first half. In the first 20 minutes of the second half, we had one chance after another," Wenger said. "There was room to score more.
"We lack maybe a bit of spontaneity because we want to do so well.
"I believe the games are locked in the Premier league because teams refuse to play. When the teams don't come out there is no space.
"In this kind of game both teams take the initiative when they win the ball back."
Wenger, though, knows the job is only half done.
"The next game will of course be an interesting one because they will throw much more forward," said the Arsenal boss.
"We have three more games between this tie and the second leg. At the speed we lose players it can be a difficulty for us."