The Premier League outfit go head to head with the Italian side in a bid to reach the group stages of the European competition.
The Gunners have been put under pressure since the departure of Cesc Fabregas to Barcelona this week.
However, Wenger is confident that the Gunners have a good chance of getting a result against their competitors.
"No matter how big the game is you still have to play good football and make a good pass when you have the ball," Sky Sports News quotes the Frenchman as saying.
"It is not more complicated than that, even in a World Cup final. Afterwards you deal with whether you win or lose. Maybe there are more questions about our quality this time, but that is where we have to show our strength and belief. We have a way to play football that we know."
"We focus on the players we have here, and we believe we have enough strength," Wenger added.
"I have seen all the games over the weekend, I don't think we should be suddenly afraid of anybody in England."
Arsenal face Udinese at the Emirates this evening.