Bayern have won 11 successive matches in all competitions, but Wenger believes that his side have a small chance of pulling off an unlikely comeback and will plan accordingly.
He told the club's official website: "We're chasing the game in a very difficult environment against a team that has no doubts at all.
"But our mentality is to go there, not resigned, but ambitious and provoke things, not go there and think 'we will not qualify anyway'. No, not at all. We will go to Munich and have to go there and give ourselves a chance to qualify with everybody believing we can do it.
"We have to behave on the football pitch like a team who wants to do it. That will be the task in the preparation. How will we go into the game tactically? I haven't decided yet. It will be with an ambitious plan, that is for sure."
The Champions League represents Arsenal's last chance to win silverware this season.