The Premier League leaders have started the current campaign in brilliant form, and beat Marseille at the Stade Velodrome a fortnight ago in their opening Group F match.
Ahead of their clash with Serie A giants Napoli on Tuesday, Wenger admits that he is desperate to add Europe's elite competition to his resume.
"It is something I miss that I will try to fight very hard to fill my CV with," said Wenger in his press conference. "But you play against Barcelona, Bayern [Munich], Real Madrid - every year they are there with a chance.
"You always think 'let's do it' every year, and one year it will go for you, so let's hope it will be this year. The competition is higher than ever.
"If we get out of the group I would say we have a chance [to win the trophy] - but what we have to show is that we have the strength. It is difficult to predict because after the group stage, it is a cup [competition] and then it is about who is available who is fit and who isn't, you cannot plan."
Arsenal host Napoli at the Emirates Stadium on Tuesday night.