Aaron Ramsey was a standout in the 4-1 win, which gave the Gunners a strong position for earning a spot in the semi-finals ahead of the second leg in Russia on Thursday.
However, Wenger said he wasn't ready to celebrate just yet, per BBC Sport's Neil Johnston:
"We have to be realistic. We have to do the job over there, go and try to win the game, that's the best way.
"We have done half of a job. There was a good pace in the first half, the two teams gave everything, which is why is was such a spectacular first half."
He also praised midfielder Ramsey, who scored twice in the win, saying: "When Ramsey plays game after game he's not only involved in the buildup, he's now calmer in his finishing."
The Wales international opened the scoring in the ninth minute and got on the scoresheet again in the 28th minute, making the score 3-1 after Aleksandr Golovin had tied things up and Alexandre Lacazette had reclaimed the lead. The Frenchman also added a second goal.
All five goals came in the first half, a spectacular period that gave Arsenal all the momentum. The Gunners held on to their lead in the second period and will now travel to Moscow with a three-goal advantage.
The Russian side's sole consolation is the away goal, which could be a lifesaver if they can perform a minor miracle next week.
Miguel Delaney of The Independent didn't think it was likely:
The Gunners could have added even more goals, but the 4-1 scoreline still seems comfortable heading into the second leg. Their quarter-final opponents have been far from great at home this season, with FC Basel, Lyon and Manchester United all taking wins at Arena CSKA.
Wenger also revealed Henrikh Mkhitaryan picked up a knee injury that will sideline him for Sunday's Premier League game with Southampton, so not everything went Arsenal's way on Thursday.