The German opposition brought an army of fans to the Emirates, many without tickets.
Kick off was pushed back by an hour as officials were concerned that thousands of travelling fans had obtained tickets for home areas.
When the turnstiles were finally opened Cologne supporters who had bought tickets in the home end were seen jumping barriers to try to reach the away section.
Wenger's side managed to come from behind to win 3-1 but the Frenchman admits he was unsure whether the tie was going to be played.
"We waited patiently in our dressing room but what was difficult was for me was I had all kind of plans to think about at some stage," said the 67-year-old.
"It was all kind of speculations you know that we had to analyse and see how we can deal with the situation.
"But in the end at some stage I thought they would not play the game, because I can't see the police taking any risk.
"We live in a society of 100 per cent security and I thought they would never take a gamble to play this game when I saw the images around the stadium.
"But I must say our supporters as well dealt well with the situation as well and there was no aggravation."
Images from the stadium showed mass numbers of Cologne fans in The Clock End at the Emirates and Wenger believes UEFA will investigate the incident.
"They are the only master to analyse the facts of what happened,"
"They will certainly make an inquiry to see what happened, for sure.
"I don't know how they managed to infiltrate our fans and get everywhere but they did that very well."
Arsenal still have to welcome BATE Borisov and Red Star Belgrade to North London for group stages clashes before the New Year.
