The Gunners ended a tough period after defeats to Manchester City and Brighton & Hove Albion by claiming a crucial away win against Gennaro Gattuso's charges in the first leg of their last-16 encounter.
Goals from Henrikh Mkhitaryan and Aaron Ramsey were enough to Arsenal a win at San Siro, leading Wenger to suggest that the win could be crucial in rekindling his side's spirits after a testing run of late.
"We have won again but we have not qualified," Wenger told the club's official website.
"The result will lift the belief in the team again. When you lose three games in six days, it's always very difficult. We want to keep our focus and finish the job next week. That's what the target is."
Arsenal take on Watford in the Premier League on Sunday and will then face Milan in the return leg next Thursday.