"I think we have shown that we are a team with character and resilience," Wenger said after Lehmann's save allowed Arsenal to hold out for a goalless draw that put them into the final with a 1-0 aggregate score at the expense of Spanish side Villarreal.
"We didn't show a lot going forward but I think that was down to physical reasons and in the end, with a little bit of luck and a lot of character we have gone through."
Wenger was dubious about whether Gael Clichy had actually fouled Villarreal striker Jose Mari for the penalty, which Juan Roman Riquelme struck almost straight at Lehmann.
"I felt frankly it was a generous decision and then I thought to myself 'if this is our year Jens will save it.'
"I knew he would not be beaten easily and it helped that there was a lot of pressure on Riquelme."
Wenger promised that Arsenal would put on a better show in Paris on May 17 than they produced here.
"In the final you will see a different Arsenal once we have recovered a bit physically. We have everything to win and we will give it our best shot. I believe we can do it."
Wenger admitted that the Paris final would be a special occasion for a Frenchman.
"At first I didn't think it was a good sign because the last time the final was in Paris, there were two Spanish sides in it. But I'm very happy. I'd go anywhere in the world to play a Champions League final but it will cost me a bit more in tickets because it is in Paris."
Pellegrini and his players gutted
Villarreal coach Manuel Pellegrini said he could scarcely understand how his side had failed to beat Wenger's men.
"It is difficult to explain how one feels after this," Pellegrini said.
"We had four or five chances to score. We were even better than Arsenal at Highbury. We deserve to be in the final.
"I thought from the first minute we could make it. We had three shots in the first half, two headers in the second and then the penalty. Until the last minute I thought it was possible.
"The players are very sad, they are gutted. I'm proud of the way they played but we also have a feeling of frustration because we played so well and we just couldn't make it."
Pellegrini refused to blame Riquelme for the penalty miss.
"It is not important," he said. "We should all think it is very difficult to be in that position and how he was feeling at the moment.
"It is a responsibility that big players have to take and he took it."
The Villarreal boss added that he believed Arsenal, despite being dominated here, could go on and win next month's final against either Barcelona or AC Milan.
"They are a good team and anything can happen in a final."