The Blues also held Atletico Madrid to a goalless draw in a game of few chances last month.
"Park the bus? No. Never. We continue to make goals in some of these games," Wenger told the Daily Star.
"Our policy is to try to play our game. It's the quality of our players. The system of the team has to adapt to the quality of the players because we have so many attacking players. We just play to our strengths.
"Sometimes, unfortunately, it has not worked for us this season but you have to go for a style. I accept that has sometimes caused us problems but I would not change anything."
Manchester City's victory at Everton on Saturday meant Arsenal secured Champion's League football for a 17th consecutive season.