Arsenal opened the scoring in the second minute but the Foxes hit back to lead 2-1 and then 3-2 before the Gunners' spectacular comeback in the closing minutes.
"Overall I must say we kept going and the spirit of the team was absolutely outstanding", he said in his post-match interview.
'A player I am a big fan of, ' is how Jamie Carragher described Olivier Giroud on Friday night.More news: There could be a female manager in EPL soon, feels Wenger
The fiercely entertaining game undoubtedly revealed both weaknesses and strengths in Arsenal's side - but it's early days and the result certainly won't win them the league in the same way it won't lose it for Leicester.
Wenger said he had given the former Montpellier man the chance to leave but is delighted he opted to stay put.
"I think we have all seen the amusing business of the transfer window and we never know what is round the corner".
Danny Welbeck equalised for Arsenal on the stroke of half time, but Vardy's second looked to have won it for Craig Shakespeare's side until the final frenetic minutes.
Giroud, who had a hard time getting into the starting XI last season as Wenger preferred to play Alexis Sanchez as the lone striker, has been vocal in his desire to play more games from start.More news: 1MDB remits US$350m to IPIC as part payment of settlement
"When you are a football manager and you're 3-2 down with 20 minutes left, you're happy however you win", he said. "Because one was a corner, one was a goal where we lost the ball in the build-up and the third goal was a corner again".
With what will surely be the first of many Lacazette has already got his first Arsenal goal in his first Premier League outing, joining Freddie Ljungberg, Emmanuel Adebayor, Samir Nasri and Thomas Vermaelen in doing so in the Wenger era.
"I feel good in my head and also physically".
"We encourage our midfield players to play balls in behind".More news: Jason Garrett shocked by length but not suspension of Ezekiel Elliott
- Chances for Rain, Storms Continue into the Weekend
- Yuvraj Singh, Ravichandran Ashwin, Ravindra Jadeja left out for SL ODIs
- Weekend tropical outlook: A depression could develop in the Atlantic
- Alvaro Morata scores his first goal for Chelsea in defeat to Burnley
- Virginia governor to white nationalists: 'Go home ... Shame on you'
- North Korea Tensions Hit Global Stock Markets
- Hizbul Mujahideen operations commander Yasin Itoo among 3 killed in Shopian encounter
- Taiwan concerned by United States plan for unfair trade probe against China
- Keith Ellison Says Kim Jong Un 'Acting More Responsible' Than Trump
- Brexit deal not 'back door' to staying in EU: Ministers