Cesc Fabregas opened the scoring with a tame effort that beat goalkeeper Sergio Romero before Andrey Arshavin took centre stage, setting up Samir Nasri, Fabregas again and Abou Diaby.
Assessing the number of attacking options in his squad, Wenger said: "As many on the creative side? Certainly not. We had still Nicklas Bendtner and Theo Walcott, who are offensive players who are not available.
"Denilson, Eduardo, Rosicky did not start, that is why I was amazed when people said 'buy, buy, buy.' And Vela as well, I forgot him."
Wenger is on the brink of guiding Arsenal into the last 16 for the 10th time in a row.
"We are consistent," the Frenchman added. "This season we look like we're getting stronger and stronger in each game. It's important to keep that attitude to progress, improve and play for each other more. Then we are allowed to believe in our future.
"We have quality and I believe in this team but it will be down to us to grow and be consistent."
Fabregas believes there is much more to come from himself and his team-mates.
"It's just the beginning of the season, nothing is done, we want to keep going until the end," Fabregas said.
"I'll feel it is something special when we win something.
"We want to win and if we win something at the end we will say we had a good year.
"We can still do better so we'll try to improve in the next few games."
Despite scoring twice, Arshavin stole the limelight from Fabregas with his creativity before Jeremain Lens pulled one back.
"He was outstanding," Wenger said. "He gave the ball every time a fraction of the second you wanted him to give it and that is top, top quality.
"Our policy is to produce our own and add players of special quality and Arshavin and Thomas Vermaelen are good examples of that. I am not scared to spend money but what we want is to buy the players who have the needed quality to strengthen the team.
"We have only players here who can play and pass the ball and score - not only goalscorers but also decisive passers of the ball and he (Arshavin) has shown that against AZ."
The performance left Wenger with no complaints, with the Gunners boss adding: "It was a brilliant performance because we dominated our subjects technically, tactically and overall were never under threat. Overall I'm very happy."
AZ boss Ronald Koeman has tipped Arsenal as one of the potential winners of the competition.
"They have a lot of qualities but it's very young and maybe they miss a little bit of experience that other teams like Chelsea and Barca have," he said.
"One bad day and you can lose against everybody. It's not one team better than the rest - it's very close. But Arsenal can go a long way in this competition."
Champions League 2009/10 Win Outright: Arsenal 8/1