The Gunners failed to qualify for the Champions League last season for the first time since the Frenchman took over, as they finished fifth in the Premier League.
But Wenger is aware that the top four is not the only route into Europe’s elite competition, as Manchester United proved last season.
“For us it’s a trophy to potentially win,” he said.
“We want to do well in all the competitions.
“In six days this week we play Europa League, the Premier League and the League Cup - we want to fight in every competition.
“It’s one of the routes but it’s not the only one for us.”
Arsenal travel to Red Star Belgrade for tomorrow night’s clash top of Group H, having won both their opening two fixtures in the competition.
The home side are expecting more than 50,000 fans to pack into the Rajko Mitić Stadium but Wenger is not worried about the fiery atmosphere.
He added: “I don’t think it will have a negative impact.
“We are of course in a country with a tremendous football tradition so we expect a game with huge commitment from everybody.
“The support of the team always has a positive impact.
“We can deal with that - we have long experience in the Champions League.”
Arsenal will be looking to bounce back from Saturday’s defeat at Watford and Wenger’s side will have a point to prove after Troy Deeney questioned their character.
They return to Premier League action this weekend with a trip to struggling Everton.
