The Gunners currently sit sixth in the table and trail fourth-placed Chelsea by eight points.
Earlier this week, Arsenal legend Robert Pires claimed that winning the Europa League is the club's only chance of qualifying for Europe's premier club competition.
Manchester United achieved Champions League qualification in this manner, Jose Mourinho fielding stronger sides in the latter stages of the Europa League and eventually triumphing in the final.
As for Arsenal, they will reach the last 16 if they avoid an upset following their 3-0 first-leg win over Ostersunds FK when the teams meet again at the Emirates on Thursday.
"[Mourinho] did that much later in the season, when they were in the semi-final, so we are not as far as that, we have to focus on the Premier League," Wenger told Sky Sports News.
"[the Europa League] is one of the priorities we have but there's a long way to go. We have to get through tomorrow and then see who we get if we get through.
"We will focus to do well but ideally we want to come back to the Champions League through the Premier League."
Arsenal return to Premier League action on Thursday, March 1 against Manchester City, four days after meeting them in the EFL Cup final at Wembley Stadium.