Arsenal had fought back to reach the quarter-finals for a 10th successive year after conceding a 4-0 lead in the first half and Wenger admitted it was an astonishing evening.
"We went from disaster to pride because we came back in the second half with a decent performance," he said.
"At one point all we had was hope because it didn't look like we'd go through. But we got the disastrous first half out of our system.
"The ninth goal looked like the winner because Reading had given a lot and mentally were down. But we looked comfortable in extra-time.
"Reading had a fantastic first half and I know what it's like to be caught at 4-0 up. They should take credit from that performance.
"At 4-1 down I thought the comeback was possible because we were creating many chances in the second half.
"At 4-0 up a team thinks it has won the game. At 4-1 up you still think you've won.
"At 4-2 you suddenly realise it's not over and then the panic kicks in and that goes through the team.
"This competition was not one of our priorities but had we gone out in the way we could have, that would not have been one of my proudest moments.
"I was very proud of the way we responded in the second half."
But Walcott, who finished with two goals, ignited Arsenal's fightback in first-half injury-time with the appearance of substitute
It may have been a classic in terms of entertainment, but shellshocked Royals boss
"It's like a funeral. I wasn't happy at half-time because we went in at 4-1 instead of 4-0," he said.
"That gave them impetus they didn't need. We'd dominated the first half and then they scored a goal out of nothing.
"When you give good players and teams a lift like that, they take the chance. It was kamikaze football in the second half and extra time. Even at 5-5 it's extraordinary.
"Obviously it doesn't help that the referee added two minutes on to the four minutes of injury-time to make it six. You can't tell the time as wrong as that, but he did.
"At full-time nothing needed to be said to the players. Sometimes the less said the better. We know what happened.
"This game will be remembered for a long time, and that makes me feel a whole lot worse!"