Arsenal's Joel Campbell celebrates scoring his side's second goal in a pre-season friendly match against Benfica at The Emirates Stadium in north London on August 2, 2014
Sanogo, a 2013 signing from Auxerre, scored four times in Saturday's Emirates Cup encounter, while Campbell, who has spent the last three seasons out on loan, scored once and supplied one assist.
Sanogo, 21, endured a difficult maiden campaign at the Emirates Stadium, failing to score in 14 appearances.
Wenger persisted with him, however, handing him surprise starts against Bayern Munich in the Champions League and Wigan Athletic in the FA Cup semi-finals, and he feels 2014-15 could be his breakthrough season.
"Football surprises you always. Not only you, but me as well," he told journalists at the Emirates Stadium.
"Sanogo was injured for basically two years before he came to us. If you look at his goal-scoring record before he got injured, it is quite frightening.
"For a while when he came back last season, he could not score. But I think it was a mental block. You could see when he scored the first goal today (Saturday), suddenly they can rain in.
"He has a big future here, of course. He is 21 years old."
Campbell, 22, joined Arsenal in 2011, but work-permit issues saw him successively loaned out to Lorient, Real Betis and Olympiakos.
The left-footed forward excelled at Olympiakos last term before catching the eye with Costa Rica at the World Cup in Brazil, and Wenger heralded his effervescent display against the Portuguese champions.
"Campbell has done very well," said the Frenchman.
"I like the way he plays. He's good on the ball and he's creative and collective as well. He has a good balance between individual skill and collective attitude. That's not easy to find."
- Sanchez 'very dangerous' -
Asked if Campbell would be allowed to leave the club on loan again, Wenger replied: "No. There's no reason to let him go. At the moment I want to keep him."
Sanogo flicked home a low cross from Aaron Ramsey to put Arsenal ahead in the 26th minute, before Campbell volleyed in a centre from buccaneering Spanish right-back Hector Bellerin in the 39th minute.
Sanogo completed his hat-trick with a pair of close-range efforts shortly before half-time and made it 5-0 early in the second half by tucking away the rebound from a Ramsey shot.
Nicolas Gaitan headed in a consolation for Benfica.
With 17 minutes to play, Campbell made way for Alexis Sanchez, who came on to make his debut following his £30 million ($50.4 million, 37.6 million euros) transfer from Barcelona.
The Chile forward captivated the crowd in the final stages with his direct running and teed up Francis Coquelin for a shot that came back off the post in injury time.
Wenger underlined the 25-year-old's lack of fitness, but said that he would be given another opportunity to improve his sharpness in Sunday's game against Monaco.
"He's not fit yet, but he's shown through some runs that he can be very dangerous," said Wenger.
"He can play on the flank or through the middle. Tomorrow (Sunday) he'll play on the flank for 45 minutes. He's not fit yet, but in one week he should be much better."
Arsenal face Manchester City in the Community Shield at Wembley Stadium next Sunday, before opening their Premier League campaign at home to Crystal Palace the following Saturday.