The Gunners emerged victorious against Craig Shakespeare's side with a 4-3 win in a breathtaking match at the Emirates last night to get their new campaign off to the ideal start.
The hosts' joy was short-lived, however, as Shinji Okazaki equalized for the Foxes within minutes.
"But I don't want him to go and in the end he made a decision to stay and it was one of the days of recent weeks for me because I know how important he is. That's not making any excuses because when subs go on, they are given jobs and I expect them to pass on information", he told Sky Sports.
The France global came off the bench to head home in the 85th minute as the Gunners started their season with a thrilling 4-3 win. We love him and in the end he chose to stay.
"Going forward and character wise we have been great".
"If you were a manager and you were on the bench, 3-2 down with 20 minutes to go and you win 4-3, you're more happy than concerned you know".
However, it was a very mixed bag in terms of their players' performances.
"We were quite good last year on corners and with a bit of work we can get that out of our system", added Wenger, who has been given another two years in charge of Arsenal.
"We were quite good a year ago on corners and I believe with a bit of work, we can get that out of the system". I got back late, I should have handled this better. You can not keep the strikers happy when they don't play.
"With the third goal, also after a corner, (Jamie) Vardy's header was nice, but we were there and we had enough time to find our place".
Lacazette was off the mark in Arsenal colours with just his second touch of the ball - the first being from kickoff - as he nodded home 10 yards out from a first-time Mohamed Elneny cross.
Now with a freaky back four of (from right to left) Alex Oxlade-Chamberlain, Monreal, Kolasinac and Hector Bellerin, Arsenal pushed for an equaliser, and on 83 minutes it came.