Wenger's side faced Chelsea at Stamford Bridge in the second match in England to have access to the VAR technology.
It was in effect on Monday for the first time in an English club match, when Brighton beat Crystal Palace in the FA Cup third round, but it wasn't called on then.
On Wednesday, referee Martin Atkinson consulted with video ref Neil Swarbrick, who sat in the Premier League's control room in west London, on two penalty appeals -- one for each team -- but no decisions were overturned.
"If the referee is not sure we could stop the game straight away."
Arsenal striker Danny Welbeck was involved in the second incident when his second half challenge on Cesc Fabregas was ruled not a penalty after VAR consultation.
Welbeck said: "I didn't know the VAR was actually looking at that incident. I knew I cleanly got the ball so I wasn't worried at all.
"I could see him (Atkinson) talking to somebody in his ear but I got the ball clearly so I wasn't worried."
Blues boss Antonio Conte added: "I think it was a good solution, when there is a doubt during the game the referee can check and see the situation again and make the best decision.
"It is right, in this way for sure the mistakes are less."
Oddly, the VAR was not used in Tuesday's first semi-final between Manchester City and Bristol City. Second-tier Bristol do not have the necessary set-up to install the VAR for the second leg of the tie in two weeks' time.
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