Arsenal laboured to a 1-0 win over the Italian side, which left more questions than answers over life after Fabregas.
Wenger had called for a response from his young squad following the sale of their captain back to Barcelona and it seemed he would get just that when Walcott swept the home side in front after only four minutes.
Goalscorer Walcott is happy with the narrow lead heading into next week's second leg and is keen to move on from the sale of Fabregas.
"We've just got to carry on," he said. "It's time to move on. He was a great player for the club but he's gone.
"We still have some very talented players in the squad here and we believe we can achieve something this year.
"We're in a great position but it's far from over. We didn't finish it off.
"But we dug in and gave absolutely everything. That's two clean sheets in a row now, and we're capable of winning over there."