Deeney also took aim at Hector Bellerin, who had vehemently denied that he fouled Watford'sRicharlison in the box for the penalty.
Watford rallied after Deeney's equaliser, with Tom Cleverley scoring an injury-time victor to send the Hornets into the top four.
Surprise side Watford have 15 points from eight matches and are enjoying their best start to a top-flight campaign since the late Graham Taylor led them to 16 points from eight games in 1982-83.
Danny Murphy categorically argued with Wenger's claim the decision was scandalous.
He said: "Credit to the manager".
"We can talk and talk and talk. No penalty, no goal".
Everton replacing Romelu Lukaku with Watford'sTroy Deeney wouldn't look the most inspired signing, but Arsenal now know just how risky Deeney can be.
It was Watford who were then pushing for the victor as Etienne Capoue's strike deflected off Mertesacker and onto the post.
Wenger tried to blame the referee for the defeat, but Deeney believes that obfuscates the issue entirely. "I'm not going to be the one to tell Mr Wenger about himself, but there's a reason why they lost and it wasn't because of one penalty".
"Whenever I play against Arsenal, I'll go up and think, "Let me whack the first one and see who wants it".
Andy Reid, Ken Early and Dion Fanning join Aidan Power on the new SportsJOE Live with another Conor Sketches classic and Isa Nacewa on his Leinster teammates.