The Gunners, finalists in 2006, open their quest to reach Wembley against Portuguese outfit Braga at Emirates Stadium tomorrow night.
With Shakhtar Donetsk and Partizan Belgrade making up the other opposition in Group H, Arsenal are expected to negotiate safe passage into the knockout stages.
Time to think: Wenger knows the pressure is on the Gunners who have made it past the group stage in 10 successive seasons
Wenger has guided the Gunners through from their group in each of the past 10 seasons, and in the last three, the north-London side have made it to the quarter-finals or better.
However, the Arsenal manager knows full well it is in those big matches where his young side must come of age, having been out-played by Barcelona in April and out-muscled by Manchester United during their 2009 Champions League semi-final.
'The mental side is the issue of everybody,' Wenger said. 'The problem as well is that the level of competition is high and in the second part of the tournament, it becomes a real cup game, when it is knockout it becomes a different competition.
Priorities: Arsenal need to qualify before they can look to Wembley final
'You have to have your best players available, the decisions to go for you and all that. We are always there, the quarters or the semi-final.
'The fact is the mental side of believing we can do it. However, it is too early to speak about winning it - let's qualify first.'
Braga came through two rounds of qualifying to take their place in among Europe's elite for the first time - beating both Celtic and experienced campaigners Sevilla along the way.
Wenger has warned against complacency, but accepts his men must deal with the added pressure of expectancy.
'We are used to the competition and people expect us to go through because we have gone through the group stage for 10 consecutive years,' he said.
'We have to deal with the fact that in many games in the Champions League we are favourites. That is the price we pay for being in the competition for a long time.
'If we are intelligent, which I think we are, we have learned that you have to turn up mentally to win any game in the Champions League, or you don't do it.
'To win our home games is vital if you want to qualify.'
Wenger is not expecting an easy ride against Braga - who became know as 'Arsenal do Minho' after they changed kits to a the Gunners red following a visit to Highbury from their coach during the 1920s.
'They have a strong Brazilian influence in their team, are physically strong and are well organised,' said Wenger.
'Braga is a team which plays with a very quick transition from defence to attack.
Sickener: The Gunners went close in 2006 but were eventually beaten by Barca
'What impresses me is that they finished in front of Porto and also in the qualifying round they knocked Sevilla out - that helps us to be on our toes.'
Arsenal, who have seen midfielder Abou Diaby and defender Thomas Vermaelen ruled out through injury, remain unbeaten in the Premier League, with three wins from four.
The Gunners' chalked up their 1,000th league goal under Wenger during the 4-1 win over Bolton, and their manager intends to take that swagger on into Europe.
'For us the confidence is high enough. We have to show we can focus every three or four days now, keep our flow going,' he said.
'To play well, you need to be happy and enthusiastic. Normally if you love football you enjoy to play with a lot of drive going forwards and we always try to cultivate that.'
Samir Nasri is fit again after knee surgery, while full-backs Bacary Sagna and Gael Clichy are expected to feature having been rested at the weekend.
Wenger, though, maintains there is no talk of prioritising team selection.
'You cannot because we go three days later to Sunderland and that is a vital game for us. Sunderland is as big a game as tomorrow because we have no priority - we want to win something no matter what it is, championship or Champions League.'
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