The Championship side visit the Emirates Stadium in the fifth round of the tournament on Saturday.
Wenger believes that his side have learnt from the shock defeat to Bradford City in the Capital One Cup in December and will look to overcome a Rovers side with plenty of "Premier League experience".
"We analysed very deeply what happened at Bradford, what we produced," Wenger said at his press conference. "We took this game very seriously but in England it is like this.
"[Bradford] have proven since that they are a team of quality and we'll take the game seriously tomorrow and have a huge desire to win it. We are the favourites; [Blackburn] are the outsiders.
"They have nothing to lose and they have a squad of Premier League players. If you look at who is in their squad they have many players who have Premier League experience."
The Gunners are currently fifth in the Premier League table.