The Gunners announced on Friday that Wenger will be departing the club after a game-changing 22-year stint at Arsenal, leaving Xhaka to state that he wants to lift some European silverware to celebrate the Frenchman's tenure.
"We have one month together now and we want to give him something special in this month. We want to take the trophy for him, for us, for the fans," said Xhaka, according to Sky Sports News.
"Everybody knows what he has done for 22 years for Arsenal.
"We know as players if we have good results then nobody speaks about the boss but that is football, that is life, we must accept it going forward."
Arsenal face Atletico Madrid in the semi-finals of the Europa League.