The Gunners eventually won 2-1 after some nervy moments and Wenger was delighted with the fact that they fought tooth and nail to score the first goal which came in the 65th minute courtesy of Theo Walcott.
Aaron Ramsey added a second with six minutes remaining before Andre Ayew netted from the penalty spot in injury-time for Marseille, prompting gladness from Wenger.
"I believe it was important for us not to give the first goal away," he told Sky Sports.
"I thought Marseille had an excellent first half and we were a bit timid but in the second half they dropped and we took advantage of our good moments in the game.
"But overall it was a victory linked with patience and experience even if we were not flamboyant - we start with three points which is good.
"We know we have all our players who can make something special and I knew it would be a difficult game, first home league game for Marseille and a passionate crowd - they are a good side and can beat anyone here."