A Santi Cazorla penalty and Olivier Giroud goal saw Arsenal to a 2-1 win as they jumped to third in the Premier League table.
Wenger said it was good preparation for his side's UEFA Champions League last 16 first leg against Monaco on Wednesday.
The Frenchman believes dropping points at Selhurst Park would have been a huge blow to his team.
"It's good preparation to win a game," Wenger said.
"You recover more quickly when you win. Physically, it was very demanding, on a difficult pitch, but I have enough experience to know that the most important game is the one you are playing.
"Honestly, what has been important for me has been to win at Palace.
"We have fought like mad to come back in a strong position in the league. Not to win at Palace would have been disastrous."
Wenger is wary of Monaco, who have recovered from a slow start to the season to be fourth in Ligue 1, describing the tie as "50-50".
"The last 16 in recent years has been super tough. Monaco are very tight defensively - they didn’t concede in the group stage against good teams," he said.
"It's really a 50-50 because Monaco are in a similar position to us. They came back into a good position in the league and their confidence level will be high."
