Southampton surrounded referee Bobby Madley after the decision, but the Gunners players had no doubt.
Wenger said: "I haven't seen (the penalty) again, but they tell me in the dressing room it was a penalty - a 100 per cent penalty.
"When you lose the first home game you cannot afford to drop points in the second. It is a win after Watford and, if you can put a few wins together like we have, we will be more confident."
He said: "I feel both are short, they lack competition and their second half was much better than their first.
"They were a bit surprised by the pace and commitment of the Premier League, but they will adapt to that.
"They were a bit on their nerves in the first half, but in the second half they were much better."