About 20,000 away fans turned up in London despite the German club being given a ticket allocation of 2,900.
After Thursday’s 3-1 win at Emirates Stadium, Gunners boss Wenger said: “We live in a society of 100% security.
“I thought they would never take a gamble to play this game when I saw the images around the stadium.”
The game was Cologne’s first in European competition for 25 years and while the match itself appeared to pass off without any incidents of crowd trouble, thousands of away supporters ended up in home sections of the stadium.
Arsenal came from behind to win, with Alexis Sanchez scoring his first goal of the season, two weeks after the collapse of his deadline-day move to Manchester City.
Speaking about the delay, which saw the start of the game moved to 21:05 BST, Wenger added: “I don’t know how they [Cologne supporters] were able to infiltrate our fans but they did it very well.
“We waited patiently in our dressing room but we had all kinds of plans to think about: do we play tomorrow? Next week?
“It was all kind of speculation that we had to analyse. In the end, at some stage, I thought they would not play the game.”
Cologne coach Peter Stoger refused to answer questions on the actions of his club’s supporters: “I have no comment about the fans,” he said.
“I’m the coach, my job is the team, my job is football, not the fans.”
Police said five people has been arrested on suspicion of public order offences.
Former England midfielder Jermaine Jenas told BT Sport: “They weren’t nice scenes and there’ll be a huge investigation.
“It’s worrying that so many away fans were able to get into Arsenal sections. There were Cologne fans celebrating when they scored in the Arsenal areas and anything could have happened – it could have really kicked off.”
Cologne-based German football expert Archie Rhind-Tutt, who was at Emirates Stadium:
It was well known there would be 20,000 fans travelling as that is the number of people who applied for tickets. In fact, the only surprise to me was that more didn’t make the journey.
Cologne are a really big club in Germany – they get 50,000 at their home games – but the reason for the level of interest in this game in particular is that, in the past 20 years, they have been relegated five times and as a result, qualifying for Europe was always going to be a big deal for them.
You only had to see thousands of their fans invade the pitch on the final day of last season when they achieved that aim of reaching the Europa League to see what it meant to them.
Cologne fans are renowned for getting over-excited at the merest glimpse of success and, right now, the club being in Europe really is the talk of the town – it’s all anyone is speaking about.
In my own circle of friends I know people who booked their transport and just wanted to be in London for the experience. Once here, people were always going to try to get to the game if they could.
Even when they were in the second division in 2012 they were getting 40,000 fans. They’ve come through some dark times so it’s not a surprise this many people wanted to be part of a big night.
And while they are a big club, in this instance they assumed the role of the smaller team in terms of being all bushy-eyed at the experience of playing a club like Arsenal.
Does the club have a hardcore faction to their support? Yes. And judging by the reports that some of them stormed the home ends then it seems they did misbehave. But that is a hardcore faction and it wasn’t the majority.
From what I saw, even after the news of issues before the game, there was a really jovial atmosphere between the fans, but clearly that depends on where you were in the ground.
Thousands of Cologne fans brought traffic to a halt in central London in the late afternoon/early evening, as they began their journey to the game.
Rachel: “In the Emirates as a home fan. Ashamed of Arsenal right now. All the warnings about turning away fans away and they’ve done nothing. No stewards to be seen. Feeling so intimidated.”
Ade: “Currently inside the Emirates, thousands upon thousands of German fans everywhere around us. Horrible tense atmosphere. Tens of thousands of fans being made to feel very unsafe, including very young children.
“Not sure how this has happened. Has to be said if the roles were reversed and I was a British fan doing this in a German city, I’d be hanging my head in shame.”
Foz: “Got to my usual seats in Club level with my 11-year-old son. Surrounded by Cologne fans. So unsafe we have been moved to the other side of the ground. Worst feeling at football in 40 years of watching home and away.”
Chris: “Currently in the home end at Emirates – away section (corner) full and in full voice. Hundreds of people joining in the singing in the adjacent section behind the goal that should be for Arsenal supporters. Can only assume they are Cologne fans.”
Steve: “Don’t feel safe inside and won’t feel safe outside. Should be called off and the Cologne fans sent packing. Arsenal fans who sold their tickets should be banned.”
Marco: “What’s the problem? Apart from the odd small scuffle amongst themselves the Cologne fans haven’t caused any trouble and just want to support their team.”