Perez, who left Deportivo La Coruna last month, netted 17 La Liga goals as his side finished sixth from bottom last season.
The 28-year-old Spaniard was handed his English top-flight debut in the 2-1 win over Southampton on Saturday. Defender Shkodran Mustafi also made his first appearance for the London club in the same game.
“It is not easy to start at home, the pressure is there and everybody has their eyes on them,” Wenger told the club’s website (www.arsenal.com).
“You could see that especially with Mustafi because in the second half he was much more comfortable than in the first. Let’s give (Lucas) time.
“We bought one more striker because we thought we needed one more. Let’s … not judge him too quickly.”
Arsenal begin their Champions League Group A campaign at Paris St Germain on Tuesday.
Image: Arsenal’s Lucas Perez and Mesut Ozil before training