Who said my god is not a vengeful god?

I dont know who said that. The Bible says God is vengeful.

Nahum 1:1-2 The LORD is a zealous and avenging God; the LORD is avenging and very angry. The LORD takes vengeance against his foes; he sustains his rage against his enemies.

Deuteronomy 4:24 For the LORD your God is a consuming fire; he is a jealous God.

Deuteronomy 32:16 They made him jealous with other gods, they enraged him with abhorrent idols.

Deuteronomy 32:41-43 I will sharpen my lightning-like sWord, and my hand will grasp hold of the weapon of judgment; I will execute vengeance on my foes, and repay those who hate me! I will make my arrows drunk with blood, and my sWord will devour flesh - the blood of the slaughtered and captured, the chief of the enemy's leaders!'" Cry out, O nations, with his people, for he will avenge his servants' blood; he will take vengeance against his enemies, and make atonement for his land and people.

Psalm 94:1 O LORD, the God who avenges! O God who avenges, reveal your splendor!