The Gunners carved open the Russian side's defence time and again, though failed to find the back of the net, instead passing up several gilt-edged chances.
"We want to keep our style," insisted Wenger ahead of his side's Premiership encounter with West Ham United.
"You can only survive and dominate your game if you do what you're good at. We have a team that can play quick passing football, is very mobile, and very creative. To change our style would be suicidal.
"We know we can score goals, and we have people in this team who can score 25-30 goals a season. We will score goals, I'm not worried about that."
Wenger also appeared to defend Arsenal fans, after striker Thierry Henry had made public that the players had noticed the number of empty seats around the Emirates Stadium during the closing stage of Wednesday's game.
"The fans were very good in midweek. It shows that when the team plays well, the fans are always very good. What you want from fans first is that they fill the stadium. They do that, we respect that, and then the rest has to come from me and the team," Wenger added.
"If we do that [play good football] then the fans will be behind us."