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The Gunners were dominant, winning through first-half goals from Alexis Sanchez, Theo Walcott and Mesut Ozil.
It was their first league victory over Chelsea since 2011 and their heaviest defeat of the Blues since April 1997.
"It's one of the games where what we wanted to do worked very well," said Wenger.
"It's one of those moments in your life as a manager where you think 'today is a great day'."
The Frenchman said his side had been "nearly perfect" in the first half.
"In the second half it was a bit in and out but in the first half we have shown great quality," he said.
"We played with style, with pace, with movement - and that's the kind of football we want to play.
"It's one of the best performances in recent years."
The win leaves Arsenal third in the Premier League, five points behind Manchester City, who have won all six of their matches so far.
Wenger, who celebrates his 20th anniversary as Arsenal manager next week, added: "The quality of our performance confirmed that we are on the way up.
"There's still room for improvement. Now let's continue to improve."
The only negative for Wenger was losing midfielder Francis Coquelin to a first-half knee injury.
The 25-year-old Frenchman missed two months of last season with a similar problem.
"He has a knee injury at the same place he had last year at West Brom," Wenger said.
"We don't know if the damage is as big at the moment, we have to wait for 48 hours. But he left the stadium in a brace and I'm a bit worried for that."
Arsenal's 3-0 victory over Chelsea was one of their best performances in recent years, according to manager Arsene Wenger.