The Gunners, who are currently fifth in the Premier League table, host Leeds United in the FA Cup third round on Monday night.
"The basis of our life at the top level is dictated by the championship. If we can add on top of that the FA Cup it is fantastic," said Wenger.
"Everybody is entitled to view it differently but you can't compare winning the Carling Cup to every year qualifying for the Champions League."
Arsenal's last piece of silverware was the FA Cup back in 2005.