The Gunners came back from 1-0 down to win 2-1, Santi Cazorla scoring deep into injury-time after substitute Olivier Giroud was brought down in the box by Jose Fonte.
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.”
Forward Lucas Perez and defender Shkodran Mustafi made their Gunners debuts, but Wenger admitted they were not at their best.
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.”