Theo Walcott and Olivier Giroud gave the Gunners a 2-0 lead in the Group B clash in the Veltins Arena but Klaas Jan Huntelaar pulled a goal back before the interval and Jefferson Farfan's second-half goal earned the German side a point.
Wenger was pleased with his side's improvement compared to their limp defeat against Manchester United on Saturday.
He told Sky Sports 2: "With all the stick we got after Saturday's game, it was important to show a good response and I think we did that.
"It was a difficult game - a good one as well, both teams played very well.
"It was unfortunate that we conceded that goal before half-time, and in the last minute we had the chance for 3-2, but overall I think a draw was fair.
"At 2-0 you have not won the game in the Champions League. German teams have physical quality and technical quality and they never give up, so I never felt the game was over."