The German playmaker's £43m move on transfer deadline day was met with disbelief from several former team-mates at the Bernabeu.
Ozil suggested he felt no longer central to the plans of Real Madrid manager Carlo Ancelotti following the world-record signing of Gareth Bale from Tottenham.
However, Real Madrid president Florentino Perez has subsequently claimed Ozil in fact asked to leave the Spanish club because "he couldn't handle the pressure at Madrid".
Wenger insists Ozil - who has made an impressive contribution in both his Arsenal appearances so far - should have no reason to defend himself.
"Real Madrid made a choice they had to let one player go. In the end it was Ozil, but I think he chose us for many reasons," said Wenger, who had tracked the German international since his time at Werder Bremen.
"One of them was he had the choice to come here before he went to Real Madrid (in 2010), and I had a contact with him from that moment, so maybe it was fate. It was between Madrid and us (then), and this time it was us."
Wenger continued: "I know Perez well and I am surprised by this statement. Honestly, I didn't read what Florentino said.
"I spoke to Ozil about it and he was surprised as well. He said he is not sure that Perez said that completely."
When asked if Ozil looked like a player seeking the easy life away from Madrid, Wenger replied: "No, I have not seen that at all.
"He is 24, he has over 50 caps for Germany and when you play for Germany, you are under a lot of pressure. He won the championship with Real Madrid and that is a club where there is a lot of pressure, but I could not detect that."
Ozil is set to play at his new home for the first time against Stoke on Sunday, when the Gunners will again be without creative Spaniard Santi Cazorla, but could have midfielder Mikel Arteta in the match-day squad following his recovery from a thigh problem which has so far kept him sidelined this season.
"We want that to be a success of course and it is important that he starts well, that it is a positive result and a good performance, but I am convinced that, if the team plays well, he will be there," Wenger said.
Wenger recalled similarities with Robert Pires' stark introduction to the English game when watching from the bench at Sunderland in August 2000.
"After half an hour, he said to me, 'Is it always like that?' And I said, 'It can get worse'," the Arsenal boss remembered.
"Sometimes the players, at the start, have a shock, but, when I arrived, it was much more violent than today. Today, it is not violent any more. However, the pace and the commitment is still high."