Welbeck appeared tumble easily in the box during Arsenal’s 3-1 Europa League win over Milan on Thursday.
The Gunners were in trouble at the time of the incident, having just conceded to a Hakan Calhanoglu wonder strike.
Milan’s players were furious when minutes later Welbeck got up from Ricardo Rodriguez supposed contact to slot home the penalty.
But Wenger claimed he had not seen a replay of the incident and missed it at the time.
“When I watch the penalty, I will give you an honest answer,” Wenger said.
“It was good to see a response from the team at 1-0 down.
“I don’t want to accuse Danny Welbeck of diving before i see it again.”
Both Granit Xhaka, who scored the second Arsenal goal before Welbeck wrapped it up late on, and Jack Wilshere were also asked about the penalty decision.
Xhaka said: “I didn’t see the penalty incident but maybe we will see it after the game.”
And Wilshere responded to the questioning by saying: “I haven’t seen it. The defender was between him and me. I will ask him afterwards.”
Arsenal were the better side for much of the game and were carrying a 2-0 first-leg advantage into the tie.
Between them the two sides recorded 31 goal attempts in a match that was in the balance before the penalty.
The win was Arsenal’s third on the bounce to help banish the memories of their previous four-game losing streak as they go into the international break on a high.
“It’s much better, we needed that to recover from our results,” Wenger said.
“It shows how the team has responded. We had a difficult game but in the end we won it.
“It was an open game. We played backwards a bit too much in the first half to protect the result. We played a very good side.
“We have to improve defensively, but overall we are team with technical quality which is more offence-minded.
WHEN IS THE EUROPA LEAGUE DRAW?
“We struggled a bit more when we have to defend. We finished the game more compact and more solid.
“We would certainly want to avoid Atletico Madrid, but we will see, we have no influence over that.”
Wilshere said of the game: “We needed it. We set the level last week in Milan. It was about getting the job done tonight and being professional. We didn’t start well but it woke us up.
“They got a good goal early on and made us work for it. We are happy to be through to the next round and we will see who we get.
“I hope so. When we looked at the draw before, AC Milan was probably not one of the teams we fancied but we showed we can play against the top teams in Europe.”
Arsenal will discover their Europa League quarter-final opponents on Friday at noon.