Arsenal go into the match as overwhelming favourites, but Wenger believes that Burnley are capable of causing his side problems.
"They are better than their points would suggest, that's what the stats show," he told the club's official website. "They have been punished in some games because they couldn't take their chances.
"[Sean Dyche] has done a great job because nobody expected Burnley to be in the Premier League this year. Overall I think his style of play is positive. They create chances if you look at the stats and the consistency of what he has achieved is remarkable."