The Gunners, who have acquired Lukas Podolski, Olivier Giroud and Santi Cazorla so far in the summer window, managed to secure Champions League football for the coming campaign but experienced an inconsistent period at the North London outfit last season.
"I find the situation very exciting," The Telegraph quotes Wenger as saying.
"I was very, very worried last year for a long part of the season and very anxious for a long time because we faced such a tough competition.
"I knew already in October that we could not afford to drop many points to be in the Champions League. I am excited because we have learned from last year, we have a new start and a new opportunity."