The Frenchman will be stepping down as Gunners boss following the team's final game of the season away at Huddersfield Town.
When asked by Sky Sports News if the players have anything planned for Wenger in the dressing room, goalkeeper Ospina replied: "It's a surprise.
"We are going to see what happens in that regard. The most important thing obviously is to help him sign off with a win at Huddersfield. It would be very memorable to give him that final victory for his last game. We are going to be giving everything on the pitch to make sure that happens and then we'll see what happens.
"I can only imagine what's going through his mind because he's been at this wonderful institution of a club for the past 22 years. It's a club where he's given everything in order to ensure Arsenal progress as a football club therefore I'm sure there will be a lot of feelings going through his mind for his last game.
"But I just hope we can give him something to shout about for his last game and help him sign off with a win."
Wenger took charge of Arsenal - then playing at Highbury Stadium - in 1996 and has steered the Gunners to three Premier League titles, seven FA Cups and seven Community Shields.