But the Frenchman, who has not yet selected the 17-year-old to play a first team game for Arsenal, said the forward had the ability to make a real difference to England's World Cup hopes.
"It was a surprise because he has no real experience," Wenger told reporters. "But it's a pleasant surprise because he is a big prospect and it will mature him to be exposed to such a top level competition.
"He will experience what pressure is. He will have maybe a bigger responsibility because there will be more demands from the media and from people who want to see England win, so the pressure will certainly be very high for him."
The Arsenal boss said he expected Walcott to take all the attention in his stride.
"He's a quiet personality but he's a strong personality," Wenger said. "I believe he will cope with it surprisingly well.
"I believe he is still a little bit in shock because it was a little bit unexpected for him, but it's good at that age. You don't realise too much what's happening to you and you just try to do well.
"He can be an interesting weapon to come on because he can play wide and central. He has good pace and once he is front of a defender you can be sure nobody will catch him.
"England can't rely on Theo Walcott, but he can come on and make a difference and maybe he could start a game or two.
"He has quite good mental strength. He is calm when he has to finish and he has improved his power a lot.
"The timing of his runs is very good. He can play on the flank, and centrally. With him you can go 4-3-3 or 4-4-2."
DESPERATE NEED
Wenger defended his decision not to play Walcott in the Arsenal first team since signing him from Southampton in January.
"I was never in a situation where I could afford to take any risks because in every game we were in desperate need of points," he said.
"We were eight points behind Tottenham and playing in the Champions League, it was always a direct knockout situation. Even when I gave Thierry Henry a breather, everyone said I was crazy."
Wenger confirmed that, barring an Arsenal injury crisis, Walcott would not travel with the Arsenal squad to Wednesday's Champions League final against Barcelona in Paris, but would instead join up with the England squad for training.