Wenger branded their display against the Hammers ‘outstanding’.
Thomas Vermaelen was sent off in the first half of the game after brining down West Ham star Guillermo Franco in the box, but Manuel Almunia saved the penalty kick.
“I believe we had an outstanding game,” the Frenchman declared.
“We played with class and spirit and we kept our nerve when the situation became difficult, so overall we have shown a good attitude, good maturity, and in the important moments in any department we were decisive.
“Everybody adapted very well to the situation and technically I believe we were outstanding today.”
The Gunners are currently on the top of the Premier League table, but could be back down to third should Manchester United and Chelsea win on Sunday.
Wenger added: “We are not under any special pressure because we are beyond expectation.
“We want to win the trophy because we are all conscious we have won nothing yet – the hunger is there, the talent is there and I think the nerves are there.
“All we can do is rely on the other results of the other teams, so the only thing we can do is master our own results.
“We have a good chance to do it this year. It will be exciting, tight and the response we gave today in the second half was very important in future games.”
