The Gunners lost on away goals despite a 3-3 aggregate with Bayern Munich but Wenger was extremely proud of the way his side performed at the Allianz Arena in tonight's 2-0 second leg win which came courtesy of goals either side of the break from Olivier Giroud and Laurent Koscielny.
"We were very, very close tonight," Wenger told Sky Sports.
"Maybe a few times we were lucky as well, but we had the chance of Gervinho, and there were maybe one or two set-pieces we could have done better.
"But the spirit and the performance was there, and overall we had a great go.
"The regret we have tonight is from the first game. We conceded a very bad goal in the last 15 minutes. If we had lost 2-1 at home, you can see how important that goal is tonight."
He added: "I know these players and I've said many times they have a fantastic attitude and spirit. We have the quality.
"Unfortunately, we have to go out of the Champions League, but the positive is, of course, the performance and the spirit."