"I love the man and the player", said Wenger.
"Holding will be a great central defender but tonight after one or two mistakes he lost a bit of confidence and you could feel that".
"I rate him as a player but we have similar types with Alex Iwobi, Jack Wilshere back".
Arsene Wenger: "I had an impact on the season, because at some stage the players came to see me and said, "What's going on boss?" But I don't want him to go and in the end he chose to stay and it was one of the days of recent weeks for me because I know how important he is. "It was relief he made a decision to stay".
"Always when I have faced opposition or unhappiness, I try to focus on what I think is important in the game, work harder and question myself, what can I improve?"
In the build-up to Friday's game Wenger repeatedly stressed the importance of beginning with a positive result against Leicester - and the Gunners appeared to have listened to their manager as they made the dream start.
Arsenal started the new Premier League season having won just one of their previous five opening matches - all of which were also home fixtures.
Arsenal woes continued after half-time when Vardy headed his second after a brilliant Riyad Mahrez corner.
The home side then secured the victory in the 86th minute as substitute Olivier Giroud powered home a header from close range, 4-3.
It seemed like both teams were itching to get on the pitch to score goals.
Leicester City manager Craig Shakespeare is confident of retaining all the players he wants to keep in his squad but is wary of approaches from rivals as the transfer window enters its final weeks. "We were a threat and played football and contributed to a thoroughly entertaining game".
"All is possible you know", he replied when asked whether the Chilean could commit to a new deal at the Emirates.