The Gunners remain second in Group B having surrendered a two-goal lead to draw 2-2 at leaders Schalke 04 on Tuesday.
The Londoners are just a point ahead of third-placed Olympiakos in the table, and Wenger believes that his side must beat Montpellier at home to improve their qualification chances.
"The group is open," Wenger said. "I believe we are of course in a position where you want to win our home game.
"If we win, we have a 50% chance to be through because Schalke plays Olympiakos here. They are in a position where they have absolutely to win that game as well.
"It will of course depend on our result first against Montpellier and then we will see what happens here. It could go to last game; we could, with luck, do it in the next game. Anyway, we are in a position where we must win against Montpellier."
Arsenal host Fulham in the Premier League on Saturday.