The Gunners have lost just once at the Emirates Stadium this season, while Coventry have lost one of their last 11 games.
When asked if the League One outfit will be a realistic threat to Arsenal, Wenger told Coventry's official website: "Yes, of course. If there is two or three divisions' difference in rugby, basketball or volleyball, the higher team always wins.
"Football maybe is the only sport, you can win [with the divisional difference] and that makes it so unpredictable.
"We have to prepare seriously for this game as we are on a good run."
Arsenal ran out 6-1 winners when the sides last met in the League Cup in September 2012.