The Gunners travel to Valley Parade on Tuesday night seeking a record 15th appearance in the last four of the competition. League Two promotion hopefuls Bradford accounted for Wigan on penalties in the fourth round and have proved to be lethal from the spot, winning eight successive shoot-outs.
"We have to win the game in normal time. They have gained confidence in these types of competitions and confidence plays a big part in that. Hopefully we won't need penalties,"
Wenger said. "Bradford are a force in their league, they are a team who play very good football and very efficient as well.
"We take them very seriously. They are very efficient at set pieces, so we will have to be very strong on that."
Arsenal reached the quarter-finals of the league cup for the 10th successive season with an epic extra-time 7-5 victory over Reading in October. And while Bradford, who are managed by former Gunners scout Phil Parkinson, offer less of a threat on paper, Wenger expects another evening where passion could prove a great leveller.
"Valley Parade was a difficult place to go to when we played there in the Premier League," he said.
"It is a passionate place with a very special atmosphere as well. That's what you will get again in this match.
"I believe when you go to places like this, you need to tell your players that it will be as difficult as a Premier League game, and it will be.
"Therefore you want to prepare yourself. If you don't do your mental work before the game, you have no chance and that is where our job lies."
Wenger's selection against Bradford will be influenced by the fact Arsenal's next match is not until Monday when they travel to Reading.
"We will have an experienced squad at Bradford. We have a good recovery time ahead of the game at Reading, so we can use the players we want to use," he said.