0225 GMT December 14, 2019
Arsenal trailed 2-0, but took the lead as Alexis Sanchez, Granit Xhaka and Mesut Ozil netted inside five minutes, before Roberto Firmino levelled, BBC reported.
But Liverpool boss Jurgen Klopp said his side should have won having scored three times at the Emirates.
"It was a thrilling game," Gunners manager Wenger told Match of the Day.
"I am frustrated at not winning, but that is the type of game you want in the Premier League.
"We played frozen with fear and not at our level in the first half. In the second half we played at our level."
Philippe Coutinho had opened the scoring in the first half, before Mohamed Salah added a second – just one minute before Sanchez's response.
"The good thing is that overall we did not give up," said Wenger. "The spirit is fantastic. On that front, I am proud of the players.
"It shows a strong mentality. We have the capacity to respond. What you want is for the team to realize that we have to start from the first minute.
"More for people who love football, let's give credit to the creative force. If you have no shots on goal the defenses look good but that is not what people want to see."
'Unlikely to win 6-3 at Arsenal'
Klopp's Liverpool had nine shots on target and could have taken a greater lead into the break, with Sadio Mane, Salah and Firmino missing chances.
Arsenal, meanwhile, converted the first three of its four efforts on target.
"It is difficult to explain, we should be three, four even five-nil up before we don't defend a cross. It feels really strange," said Klopp.
"A point at Arsenal is a good result for most teams in the world, but it feels not too good at the moment.
"We made mistakes on both sides of the game but it is unlikely to win 6-3 or something at Arsenal
"We didn't take all of our chances but three goals should be enough. Arsenal were not in the game apart from 10 minutes."