Brazilian defender Juan capitalised on some poor defending to fire the Italians in front after just nine minutes and level the tie.

The Gunners grew in stature as the match went on, while Roma were guilty of some poor finishing, but neither side could not find a way through as extra-time passed.

Arsenal held their nerve in the shoot-out lottery, with Roma's Max Tonetto missing a crucial sudden-death spot-kick as the Barclays Premier League side progressed 7-6.

Arsenal had missed the first penalty when Eduardo saw his kick saved, but they kept their nerve to battle back.

"After conceding a first early goal on a missed cross and missing the first penalty after 120 minutes, you need something special, mental strength to come back and win it," said Wenger.

"I also must congratulate Roma. They played very well tonight and made it very difficult.

"We had problems to create clear-cut chances, and that was down to the quality of their defending and resilience.

"I was apprehensive because you knew that with the final played here on their home ground, that Roma would give everything."

Wenger added: "I am proud of the mental strength because that is something which has been questioned a lot in our team.

"You could see that we have improved tremendously on that front.

"I was very concerned if we were the only team to go out tonight, that it would have been detrimental to the progress of the team, so it will certainly help us to improve our confidence.

"The team has swum a lot against the stream.

"I believe this kind of result can increase the belief and the self confidence which can help us for the rest of the season.

"But let's keep our feet on the ground and first win against Blackburn on Saturday."

Wenger revealed the team had not specifically worked on taking penalties in the build-up to the match.

"I did not think at all it would go to penalties," said the Arsenal manager.

"Sometimes we do in training, but not the day before.

"I had my mind made up in the second period of extra-time who would take the penalties."

Wenger admitted the decision of Spanish referee Mejuto Gonzalez not to award Roma a penalty in the final moments of the first half when Marco Motta and went down under the challenge of Gael Clichy was a "very close call".

"I would like to see it again on the replay. It could have been (a penalty)," said the Arsenal manager.

"Did Gael touch Motta or not? I was worried about that."

Arsenal joined Manchester United, Chelsea and Liverpool in the quarter-finals, as Premier League clubs once again dominate the last eight.

"England can be very proud to have four teams in the quarter-finals for the second year, but we have not to be fooled," said Wenger.

"The games with the three Italian teams - Juventus, Inter and Roma - were very close and it looks like Italy is coming back."