Olivier Giroud scored the only goal of the game with a stunning overhead kick moments after the hosts had been reduced to 10 men.
The 1-0 win keeps up Arsenal's perfect start to Group H as a spirited Red Star team hit the post in the first half and tested Petr Cech on a number of occasions before having Milan Rodic sent off in the closing stages.
Wenger saw the attitude of his squad questioned by Watford captain Troy Deeney following the Hornets' 2-1 Premier League win on Saturday.
The Frenchman, as well as both Per Mertesacker and Jack Wilshere, have defended the players since then and Wenger hailed his much-changed team - showing nine changes from the Watford game - for performing in the intimidating atmosphere of the Rajko Mitic Stadium.
"I agree with you not only in their performance, but they showed character as well," he said when asked if his young players had performed well.
"It is not easy to express yourself at 18 years of age
To play in such a heated atmosphere shows how much resilience to stress (the players have), which is an important quality at our level.
"I believe that it was a very difficult game with high intensity in a very heated and supportive atmosphere for the local team and we kept going and trying to win the game, and them as well in fairness.
"We played against a good Red Star team who were always dangerous on the counter-attack
Petr Cech made some good saves and in the end we got a win that gives credit to the mentality of the team."
Red Star boss Vladan Milojevic wants his players to learn from the experience of coming up against a team such as Arsenal and lamented the decision to show a second yellow card to Rodic, who was adjudged to have caught Francis Coquelin with a stray elbow.
"Every defeat hurts," he said.
"The sending-off was too harsh
We have to move on We did our best and the players can be proud
Arsenal didn't dominate this game.
"Games like this are important and it's how you gain experience
We need that in order to improve."
While Arsenal top the group after taking maximum points from their first three games, Red Star now sit third after BATE Borisov beat Cologne to move ahead of them in the table.
Source : PA
Source: PA