The Gunners are six points behind leaders Chelsea after Andrey Arshavin's winner capped a second-half comeback.
Then an injection of pace from Arshavin saw him test Hennessey with a stinging shot.
But nine minutes before half-time Russia finally broke through thanks to the brilliance of captain Arshavin.
Andrey Arshavin equalised with a superb volley into the corner before Nicklas Bendtner coolly fired Arsenal in front.
Andrey Arshavin pulled one back with a superb strike before Robin van Persie forced the ball home to equalise.
And it was Arshavin's creativity that unlocked Porto again and set Bendtner up for his second 15 minutes later.
"We have to assess Arshavin, who has still to come back, " Wenger added.
Andrey Arshavin struck with a low shot from the edge of the area before Craddock headed in a late consolation.
Nasri stepped up to score from the spot and another penalty, followed by an Andrey Arshavin goal, wrapped it up.
Igor Semshov gave the visitors the lead in Cardiff late in the first half after being set free by Andrei Arshavin.
Arshavin played in Russia's 2-0 home defeat by Belgium while Rosicky was involved in the Czech Republic's 0-0 draw in Denmark.
Arshavin skinned the youngster at the first opportunity and crossed for Bendtner, who could not direct his close-range effort on target.
When Arsenal's equaliser came it was a moment of inspiration from Arshavin - who had not featured against Chelsea three days earlier.
His replacement, Andrey Arshavin, would have a significant impact on the result.
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Andrey Arshavin was involved in the two key incidents in the game.
The second half was 11 minutes old when Arshavin found Sergei Semak whose cross from the right was neatly turned in by Pavlyuchenko.
But Igor Denisov played a one-two with Andrei Arshavin before firing home and Konstatin Zyryanov side-footed in to secure Zenit's first European trophy.
Indeed, the Russians should have added to their lead in injury-time after more Arshavin trickery but substitute Pavel Pogrebniak missed from close range.
Goals in the second half of added time from substitute Dmitri Torbinski and the magical Andrei Arshavin capped a triumphant night for the Russians.
But Russia regained their composure and Gabbidon did well to throw himself in front of an Arshavin shot as the midfielder ghosted into position.
Despite their numerical inferiority, Arsenal continued to press forward as the effervescent Emmanuel Eboue curled a fine cross for Andrei Arshavin to nod over.
The Gunners looked shell-shocked but eventually regrouped and, out of nowhere, Arshavin exchanged passes with Chamakh before drilling a magnificent first-time finish past Carson.
But the Russians survived a missed penalty from Denis Kolodin and the late sending-off of Andrei Arshavin to secure their ticket to the Alps.
Emmanuel Eboue finished a sweeping move for Arsenal's second after 53 minutes and Andrey Arshavin added another two minutes after coming on as substitute.
Arsenal threatened to put the game to bed before Burnley got out of the blocks as Fabregas quickly wasted another chance and Andrey Arshavin struck an upright.
Wenger was also unhappy with Dean's decision earlier in the match not to award his side a penalty for Darren Fletcher's untidy tackle on Arshavin.
Russian ace Arshavin made it 4-0 on the hour before Craddock claimed a late consolation goal for Wolves, who are now in the relegation zone.
The trophy was effectively settled 18 minutes from time, when midfielder Igor Denisov combined smoothly with playmaker Andrei Arshavin before slotting home Zenit's opening goal.
With two minutes left, Russia almost got a consolation goal but Casillas made a stunning save to deny Diniyar Bilyaletdinov's header from Andrei Arshavin's cross.
As if United were not struggling already, Arshavin was introduced at the break and his trickery immediately had the English champions on the back foot.
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