The Gunners have endured a difficult season in which they suffered Champions League humiliation at the hands of Bayern Munich and appear likely to miss out on the Premier League's top four.
However, they remain in the hunt for the FA Cup, contesting Sunday's semi-final at Wembley against Manchester City.
"What I expect when you go to the semi-final is go to the final," Wenger told BBC Sport on Thursday. "It's a special experience at Wembley. You are focused and highly motivated.
"We are not at the maximum at our confidence. This is a good opportunity to show how much we are ready to fight and go to the final. This is our only chance of a trophy."
Arsenal share the record of most FA Cups won with Manchester United, with 12 triumphs.