As well as the silverware, Arsenal's supporters have also had a major signing to celebrate after Wenger broke the club's transfer record to sign prolific French striker Alexandre Lacazette from Lyon.
Xhaka sent the ball in and it fell to Giroud, who powered in a header off the underside of the bar, sparking wild celebrations at the Emirates.
Vardy scored just before the hour mark to make it 3-2, Aaron Ramsey rallied Arsenal with a goal seven minutes at time to make it 3-3.
Giroud then sent the previously despondent Arsenal fans wild when he headed the 85th minute victor from a corner, Leicester keeper Kasper Schmeichel only managing to turn the ball onto the underside of the bar before it bounced over the line.
"Going forward and character wise we have been great", said a relieved Wenger, who will be seeking a first league title since 2004 after being handed another two years in charge. However, just to remind you we have 33 players here and they are all good players.
"However, it's the Man City situation that's the concern and we've seen it all before with Robin van Persie's move to Manchester United". "He is a collective player, an intelligent player as well". Wenger names Dennis Bergkamp as perhaps the most skilled player he has ever worked with, before Mertesacker says he'd give Arsene Wenger a miniature World Cup trophy if he had to buy him a present. Shinji Okazaki was the initial beneficiary with a fifth-minute equaliser. "We have top quality".
The £52 million signing became the first Arsenal player to score on his Premier League debut since Thomas Vermaelen in 2009.
"If you were a manager, you're on the bench when you're 3-2 down with 20 minutes to go, and you win 4-3, you're more happy than concerned", Wenger said.
"I feel as well that the goals we conceded, we can work together to get rid of that because one was a corner, one was a ball we lost in the build up and the third goal was on a corner again, so we conceded two goals on corners".
"We've got our first game this Friday coming and we can't wait to get started".