Champions League success has eluded Wenger during his 17-year tenure in North London, with the Gunners coming closest in 2006, losing 2-1 in the final to Barcelona in Paris.
Wenger thinks that Arsenal have been unlucky to draw the best teams consistently in recent years, but believes that expectations of a run to at least the quarter-finals this season are justified.
He told UEFA.com: "We have experience everywhere, we go and we try and play without any inhibitions.
"We were a bit unlucky with draws in the last five or six years because we often came up against Barcelona, Bayern Munich or AC Milan, and it was very tight. Hopefully this season we'll progress to the quarters, semi-final or even final, why not?
"We basically lost the European cup in the last 13 minutes playing with ten men [in 2006]. The biggest regret was losing having played so well with ten men. In that season, we knocked out Real Madrid, with the likes of Zinedine Zidane and David Beckham, and Juventus, before facing Barcelona in the final."
Arsenal have made a confident start to their European campaign, beating Marseille and Napoli ahead of a Group F double-header against Borussia Dortmund.