The Gunners have taken 12 points from their opening five fixtures but need to avoid a heavy defeat in their final game against Napoli to seal their place in the last 16.
"It's unbelievable but it's reality," Wenger told Arsenal's official website. "We have to finish the job.
"It is not an easy situation - it is a tricky situation because you can think 'okay, let's just not lose big' but I think that would be a mistake. [We need to] go there, play in a positive way and try to win the game."
Arsenal return to Premier League action on Saturday when they travel to Cardiff City.