The Switzerland international is out because of illness, while striker Pierre-Emerick Aubameyang is once again ineligible.
"Xhaka is not here because of flu," Wenger told reporters. "Aubameyang of course has not travelled, Mkhitaryan and Ospina.
"Koscielny is OK, we are being careful with him, I have been resting him a little bit when we've been playing three times a week but there's no new problem. He will play tomorrow night."
Arsenal go into Thursday night's game on the back of six successive wins in all competitions, but CSKA have lost just two of their last 11 home matches.