Arsenal struggled in an uninspiring game but Welsh international Aaron Ramsey's strike two minutes into stoppage-time from a Gervinho deflecion was enough for the visitors to prevail.
While the Londoners failed to impress at the Stade Velodrome, the 1-0 win - their first clean sheet in 18 Champions League away games - would still be something to build on, according to Wenger.
"We made a little step forward but we have to be humble because we are a team that has to continue to grow," Wenger told reporters.
"We had our share of bad luck [earlier], notably with Borussia Dortmund equalising late in the game (in Arsenal's first Champions League outing). Good for us we got lucky this time."
Arsenal top the Group F table with seven points from three games, with Marseille in second place one point adrift two weeks before the two teams meet at Emirates Stadium.
Arsenal, who will take on Stoke City on Sunday, lie 10th in the Premier League standings.
"If we look back at our last five or six games we only lost once," added Wenger.
"We are slowly getting there and tonight will help."
Defensive woes, however, kept piling up for Arsenal when Carl Jenkinson was replaced by Johan Djourou in the second half with a possible knee injury.
"He has a knee problem, he stretched his knee," said Wenger. "We have to check that."
Jenkinson was making up for the absence of France full-back Bacary Sagna, who was ruled out for three months with a broken leg.
Arsenal, though, did not create a lot of chances in a lacklustre game, but Wenger was not too concerned.
"Marseille did defend very well, very cleverly," he said.
"There were not a lot of opportunities but that's football, sometimes it happens, even in the Champions League."
Get the best features, fun and footballing frolics straight to your inbox every week.
Thank you for signing up to Four Four Two. You will receive a verification email shortly.
There was a problem. Please refresh the page and try again.