The Brazilian had been linked with a return to Barcelona throughout the summer, but the transfer window closed on Monday with the forward still at PSG.
Wenger told BeIN Sports (h/t Goal's Peter Lynch):
"I think that he is one of the best players in the world and I am happy that he is staying at PSG.
"Because when you lose one of your two or three best players in the world, the law in our world is that the following year you lose the other.
"It is very difficult to have players who make a difference, even when you have a lot of money. When you have them, you must keep them."
Sky Sports' Bryan Swanson reported on Saturday that Neymar would remain in the French capital:
Wenger is not the only one who was pleased with the news:
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An anonymous PSG player to RMC on Neymar telling the squad on Saturday afternoon he was staying: "It was a relief. It's important for the project & above all prevents us from strengthening Barça. Better to play with a Neymar who's a bit sad, than against a Neymar in top form."
The 27-year-old will need to ingratiate himself with the supporters once again after they responded to talk of his departure by displaying banners urging him to leave:
He has scored 51 goals and assisted a further 29 in just 58 games for Les Parisiens, though, so if he can stay fit this season he'll be an outstanding asset for them.
If he had left, it's possible some players may have taken issue with the club parting with one of the best in the world, but PSG have been good at keeping hold of their top stars in recent years.
In 2017—the year Neymar moved from the Camp Nou—the club successfully resisted Barcelona's €100 million pursuit of Marco Verratti.
Arguably, the only key player they've lost in recent years was Zlatan Ibrahimovic. Even then, he left for Manchester United when his contract expired and he was 34 at the time.
Such are the wages and transfer fees that the game's biggest stars now command, there's a limited market for players of that calibre because only an elite group of clubs can afford them if they remain in Europe.
Real Madrid discovered as much when they tried to offload Gareth Bale in the summer, with Chinese Super League outfit Jiangsu Suning proving the only realistic destination before the Spanish giants backed out of the deal.
PSG's other biggest star, Kylian Mbappe, would be similarly difficult for anyone else to afford. Had Neymar left, the France star's value at the Parc des Princes would only have increased, because keeping him would have been even more vital to their ambitions.
Barca may well renew their pursuit of Neymar again next summer, but an exodus of PSG's other top players won't necessarily follow if he goes.