The England international has come under for some criticism this season as the Gunners got to grips with a poor start to their campaign.
However, Walcott shoved some of the words said about him down the throats of his critics with a goal and an all-around excellent display in Arsenal's incredible 5-3 win at Chelsea over the weekend.
"Theo has been struggling because we are making him work very hard," Wenger told the club's website.
"He is more a complete player today.
"He is not a liability defensively. He does his defensive job.
"At the start that makes you have heavy legs when you win the ball back. But now he wins the ball defensively and he is dangerous going forward. He works so hard."
Meanwhile, Aaron Ramsey - another of Arsenal's midfielders which shone against Chelsea - said he is targeting a season of goals.
Ramsey didn't score against the Blues on Saturday but already has two goals to his name this season including the winner in Arsenal's last UEFA Champions League game in Marseille.
"I like to get forward and into the box," he said.
"My target is to get into double figures so hopefully I can do that this season. It's always a nice feeling when you score a goal so yes, hopefully I can do that."
"I go out in every game to play as well as I can and help the team get the right result.
"I think everyone played their part against Chelsea.
"We created lots of opportunities and we took a lot of them, so we can take a lot from that game."
The Gunners meet Marseille again on Tuesday at the Emirates Stadium in a match that will have a bearing on the winner of Group F.