Wenger felt the Gunners should have put Roma out of sight, but they only managed a 1-0 first leg win at Emirates Stadium.
Robin van Persie scored the only goal of the game on a penalty.
“That is the regret we have tonight. I am happy with our performance, but of course there was room to score more goals,” Wenger said.
“From tonight we know we can create chances. You never know what a good result is in the European Cup.
“One of the positives is we didn’t concede a goal.
“It’s put us in a position where we know we need to attack over there. If we score once that should be enough.”
“Our pace gave them problems in the first half. In the first 20 minutes of the second half, we had one chance after another,” he continued.
“There was room to score more. We lack maybe a bit of spontaneity because we want to do so well.
“I believe the games are locked in the Premier League because teams refuse to play. When the teams don’t come out there is no space.
“In this kind of game both teams take the initiative when they win the ball back.”
Wenger added: “The next game will of course be an interesting one because they will throw much more forward.
“We have three more games between this tie and the second leg. At the speed we lose players it can be a difficulty for us.”
