The Gunners will travel to Turkey for the first-leg of their play-off round clash against Besiktas on Tuesday.
They have managed to qualify for the group stages of the tournament for the past 15 seasons, but Wenger is wary of the task that lies ahead of them.
"We are desperate to do it because we want to play in the Champions League and we know how big these games are," he is quoted as saying by Sky Sports News.
"We are desperate to go through. No matter what it costs we want to go through. We always have a difficult draw, we had Fenerbahce last year, this time we have Besiktas, so it is difficult.
"The preparation for us was a Premier League game we had absolutely to win, that's the best preparation for confidence."
Arsenal began their Premier League campaign with a 2-1 win against Crystal Palace on Saturday.