The former Gunners striker has rejoined the club on a two-month loan deal from MLS side New York Red Bulls.
Arsenal travel to Milan on Wednesday, February 15 before hosting the return leg on Tuesday, March 6.
"Yes, he will be [in the squad]. I have given Vito Mannone out on loan to Hull and Thierry will take his place," said Wenger.
"He has good memories of playing in Milan, where he scored three goals against Inter Milan. It is logical [to include him]."
The 34-year-old has been tipped to face Leeds United in Arsenal's third round FA Cup tie on Monday night.