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."
"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."
"He has a knee problem, he stretched his knee," said Wenger. "We have to check that."
"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."
