Gonzalo Higuain and Jose Callejon scored two late goals for the Serie A club, but Kevin Grosskreutz's winner in Borussia Dortmund's 2-1 victory over Marseille meant Napoli dropped to third in Group F due to their inferior goal difference.
And Wenger, who saw Mikel Arteta sent off late in the second half on Wednesday, believes Napoli can feel somewhat aggrieved to have seen their Champions League journey brought to an end.
"I feel for Napoli," he said. "It was a difficult group and three teams have finished on 12 points. One team had to be knocked out but they can feel very hard done by to be that team.
"We took the game seriously and we were focused but perhaps we dropped physically second half.
"They played very well and we were on edge but in the end we’re happy to get through.
"The most difficult is when you are in between, do we attack or defend? As long as we didn't score, they had hope.
"Maybe what helped was that Dortmund were drawing 1-1 and maybe they put the handbrake on, that's why we didn't get too much pressure in the end."
And the Frenchman revealed Arteta felt his sending off for a second yellow card with Napoli 1-0 up was harsh.
"He is absolutely convinced that he didn't make a foul and that it was very harsh," the Frenchman added. "I felt as well that it was a very harsh second yellow."
