As Jay Rodriguez raced into the box, Arsenal’s Shkodran Musafi brought down the Baggies attacker but he opted to get back to his feet quickly and shoot on goal.
His shot was tipped onto the post by Petr Cech and from the rebound Jake Livermore placed his effort wide.
And West Brom were left to rue referee Bobby Madley’s non-decision as goals from Alexandre Lacazette gave Arsenal all three points.
After the match, Wenger conceded his side could have had a penalty awarded against them.
Wenger said: ”Would [the West Brom penalty] have been given I would not have said it is a scandal.
“Looking at the decision again he made the right decision [to play advantage].
“It is a difficult decision because if he doesn’t give the advantage and he misses the penalty.
“You are never too honest. I believe he saw an opportunity he could score.”
Wenger’s opposite number Tony Pulis struggled to hide his unhappiness with the decision, claiming Mustafi could have been sent off in the incident.
“It is part of the game and things didn’t go for us today,” Pulis said.
“The great thing [with the challenge on Rodriguez] is that everybody has seen it so I don’t have to comment on it.”
While Rodriguez said felt it was a penalty and he expected referee Madley to give the decision.
He told Sky Sports: “I felt contact. I went down and expected the foul to be given but it wasn’t so I got back up. I wasn’t injured or hurt. For me it was a penalty, sometimes you get them sometimes you don’t.
“I wouldn’t be rolling around trying to get free-kicks. It is one of them things but it is just difficult because if you do get that goal, 1-0 up it changes the game.
“If I have the chance to score and see it I am not going to stay down and shy away from it. You always have a conversation with the ref, we just talked. It was just one of those things.
“I thought it was in, it was a great save from the lad. The lads have worked extremely hard. We played really well, especially in the first half. We take those chances and are one or 2-0 up.”