Arsenal needed extra-time to complete an impressive comeback from two goals down to claim a 3-2 win over Hull, thanks to Aaron Ramsey's 109th-minute winner.
But captain Arteta says much of the plaudits should go to Wenger after the Frenchman guided the club to their first piece of silverware for nearly nine years.
"I think he (Wenger) put it right today, and I think he was very important with the speech he made at half-time to the players," he told Sky Sports.
"He told us to be calm, believe in what we are doing and he had all the belief that we were going to get back into the game and win it.
"He said, 'I don't want us to rush, I want to play in the same manner and I don't want to start throwing bodies up front', and that's the way we've done it and I'm really happy for him because he deserves it."