Published: 2017-08-12 20:09:59 BdST
Olivier Giroud came off the bench to head a late winner after Aaron Ramsey had brought Arsenal level at 3-3 following a Jamie Vardy double for the visitors. The home side's new French signing Alexandre Lacazette had given them an early lead.
The match was a great advert for a league that is already prime box office viewing worldwide but Arsenal's hopes of a first title since 2004 will require some polishing of a rusty defence after Leicester put away half of their chances.
"Top quality game and you want PL to be best in the world and you have to produce games like that," Wenger told reporters.
"At some stage it didn't look like (a win). We kept going and the spirit of the team was absolutely outstanding," he said.
"We were punished on every single mistake by a Leicester team that was very efficient going forward. (We had) 70 percent possession, 27 shots on goal, Leicester had three shots on target and scored three so that shows you how efficient they are."
Arsenal looked a beaten team when Leicester led 3-2 early in the second half after Vardy grabbed his second goal before the substitutions gave them new vigour in attack.
Giroud's clever header in the 85th minute secured the points after Lacazette had taken just 94 seconds to make his mark with a header from Mohamed Elneny's curling cross, equalling the record for the fastest opening goal in a Premier League season.
The lead lasted three minutes before Leicester's new signing Harry Maguire headed Marc Albrighton's cross from the left back into the middle and Shinji Okazaki nodded the ball past flailing Arsenal goalkeeper Petr Cech.
The electric start to the campaign, with a match on the Friday night opening the league programme for the first time, was the prologue for a fast match of punch and counter-punch.
England striker Vardy put the visitors 2-1 ahead just before the half hour, darting into the box to rifle another fine Albrighton cross past Cech after the winger had pounced on a poor square ball from Arsenal midfielder Mezut Ozil.
But Welbeck had the last word of the first half for the home side when he equalised from close range in added time after new signing Sead Kolasinac's tap forward in a goalmouth melee.
The impressive Vardy scored his second in the 53rd minute to put Leicester in front once more, curling Riyad Mahrez's corner into the bottom far corner amid poor Arsenal marking.
But the home side's pressure in the final half hour turned the game back their way and Ramsey equalised with a shot from close range seven minutes from time with Ozil appearing to handle the ball in the build-up.
Giroud then sent the previously despondent Arsenal fans wild when he headed the winner from a corner, Leicester keeper Kasper Schmeichel only managing to turn the ball onto the underside of the bar before it bounced over the line.
Leicester showed some of the form that won them the title in 2016 and helped stave off relegation last term but in the end they were undone by canny France international Giroud who has been linked with a move away from Arsenal all summer.