Speaking on Monday, he welcomed efforts to strengthen European defence, while underlining the importance of "complementarity and not duplication."
He said that "by working together, Nato and the European Union can more effectively address security challenges from any direction."
His comments will be taken by some as an indirect criticism of plans to set up a European Defence Union (EDU), or "European Army" as it has been dubbed by some, including UK Tory MEP Geoffery Van Orden, a military expert.
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Van Orden and others have said the EDU, backed by Commission President Jean-Claude Juncker, will duplicate the work currently undertaken by Nato.
Stoltenberg said, "I attended a defence ministers' meeting of the EU a couple of weeks ago and there was no one there arguing in favour of a European army.
"If Europe is able to develop new capabilities, spend more on defence and integrate and coordinate its defence industries that will be something I would really welcome. Actually, Nato has called for that for a long, long time."
Stoltenberg was addressing the Menschen in Europa debate in Passau, Germany, on the future of Europe, with European Council President Donald Tusk and European Parliament President Martin Schulz.
Stoltenberg stressed that "a strong Europe provides a strong Nato" and further underlined the importance of a "strong and enduring transatlantic bond."
On Nato's relations with Russia, the Secretary General outlined the alliance's dual-track approach of strong defence and dialogue, calling the former a pre-condition for the latter.
He explained how Nato has implemented its biggest reinforcement of collective defence in a generation - not in order to provoke a conflict, but to prevent one.
On threats from the south, Stoltenberg, a former Norwegian Prime Minister, welcomed the progress of the Global Coalition to counter ISIL, to which all Nato allies belong.
He also stressed the importance of building up local forces to stabilise their own countries, as Nato is doing in Afghanistan.
Using the alliance's training of Iraqi officers in Jordan as another example, the Secretary General called defence capacity building part of a "viable, long-term solution" to instability in Nato's southern neighbourhood.
Stoltenberg, Tusk and Schulz said they all remain committed to taking a hard line against Russia but that the door for dialogue remains open.
Stoltenberg called for a constructive relationship with Russia, but said political dialogue was only possible as long as the west remained strong.
In the debate, 'Can the great idea of Europe persist?', Tusk said normal relations with Russia was a goal, but said that since the extension of EU sanctions imposed over the Ukraine crisis and the Russian annexation of Crimea, "nothing had changed."
Schulz said Russia's actions could be condemned, but at the same time the "channels for dialogue must always be left open."
The panel discussion took place within the framework of the "People in Europe" series and was organised in cooperation with the Munich Security Conference.