A controversial penalty converted by Brazilian-born Eduardo after 28 minutes allowed Arsenal to build on their 2-0 victory in Glasgow in the first leg of their final playoff round tie last week.
Well-crafted goals by Emmanuel Eboue and Andrei Arshavin after the break underlined the gulf in class between the two sides although Massimo Donati salvaged a little pride for the Scottish side and their visiting army of fans, lashing a volley with the last kick of a one-sided tie.
"When I first saw it I thought it was a penalty but having seen it on the replay I don't think it was," Wenger said of Eduardo's theatrical fall that infuriated Celtic keeper Artur Boruc and his team mates.
"I've never asked a guy to dive to get a penalty but sometimes a player goes down because there is no way to escape a keeper.
"I would not go as far as to say that he dived but I don't think he would have complained if the penalty had not been given."
Even if the first goal was dubious, the 5-1 aggregate victory did not flatter an Arsenal side who have now won their first four games of the season, scoring 15 goals in the process.
Serie A side Fiorentina squeezed through on away goals against Portugal's Sporting after a 1-1 home draw left the tie level at 3-3. Steven Jovetic equalised for Fiorentina on the night after Sporting had gone ahead on aggregate through Joao Moutinho.
Stuttgart were held 0-0 at home by Timisoara of Romania but progressed courtesy of their 2-0 away win last week.
APOEL beat FC Copenhagen 3-1 for a 3-2 aggregate win while Greek side Olympiakos ended the dreams of Moldovans Sheriff Tirsaspol, completing a 3-0 aggregate win.
The 10 winners of the playoff ties will join the clubs who automatically qualified for the lucrative group stages, including holders Barcelona and runners-up Manchester United.
Celtic will have to content themselves with a place in the Europa League.
