The Arsenal boss has revealed he was not sure who would have been in shape to take a penalty in a shoot-out if Aaron Ramsey had not clinched a stoppage-time FA Cup victory over battling Hull.
But, desperate to avoid the lottery of shots from 12 yards, the Frenchman took off his dead-ball specialist Santi Cazorla and Germany's Mesut Ozil at the break in extra-time - and was rewarded when Ramsey struck in the 109th minute.
Throwing on Tomas Rosicky and Jack Wilshere gave the Gunners fresh impetus and wrapped up a first trophy since they won the FA Cup in 2005.
It also completed a dramatic comeback, having gone behind to early goals from James Chester and Curtis Davies, before hitting back through Santio Cazorla and Laurent Koscielny.
"I tried to go for it before the end," said Wenger.
"It paid off. But we had a horrible feeling for a long time in the game.
"In the end it was a relief. But this job is about how it finishes. All the rest, nobody cares about.
"I had a funny feeling that it mustn't go to penalties and I tried desperately to make sure it didn't.
"Because I had not many players on the pitch who are a specialist at them."
Wenger added: "Ozil, I must tell, I wouldn't have put on the penalty list." That was a reference to the German's dreadful kick against Bayern Munich in the Champions League which proved so costly.
"But Cazorla is a serious penalty taker. That's why I was hesitant.
"The other problem I had was Kieran Gibbs had a hamstring problem before the end of the game, but I waited as long as possible.
"And in the end I tried to win it before the finish.
"I was worried, of course. I was worried by the decisions I was making because I had two strikers on the pitch (Olivier Giroud and Yannick Sanogo), Jack is not a penalty taker, Rosicky isn't either, Giroud had cramp, so it was a risk."
As the trophy drought has gone on, Wenger has seen himself as a manager who was being victimised, rather than a victim of his own success.
Having set such high standards with three titles and four FA Cups - as well as a Champions League Final appearance - in his first nine seasons, it was never going to escape people's attention that the next nine were without success.
But, stung by criticism that has grown and grown, the 64-year-old has developed a siege mentality which was still evident even after the joy of Wembley.
"It will force you, first, to be a bit more creative in the press conferences," he said.
"I've nothing against this question (of no trophies in nine years) if you say it to the other clubs as well.
"You know there are some clubs who haven't won for 20 years and don't get that question at all.
"I was kicking every ball against Hull, I was," the Frenchman added.
"But that's because I want to win. I work seven days a week because I want to win. And it's difficult.
"You can't, unfortunately, win on command. Our job is very easy when you win things and when you don't win you need some strengths to continue to go on.
"I played my 13th or 14th Cup Final. I fight very hard every year to win everything and, every day, to give everything, every day of my life.
"If I don't manage to do it, it's not a lack of commitment. I'm sorry but I try my best.
"Basically, the whole club and the fans were under that kind of pressure for not having won for years.
"So it will help to get that off our shoulders a little bit and focus on getting stronger.
"But, it's tough to win the Premier League when you have so many top-level teams. The quality of the consistency is important for a club - and on that front we've been better than everybody else.
"There are only two clubs in Europe who have qualified for the Champions League for 17 years consecutively and that consistency demands special values inside the club."
