The Gunners won 3-0 against Fenerbahce in Istanbul last week to move to the brink of qualifying for the group stages for a 16th successive year.
It will be the team's first appearance at the Emirates since their opening-day defeat in the Premier League against Aston Villa, a result which provoked their fans' ire.
However, since then they have claimed victories in Turkey and then at Fulham and although qualification seems to be in little doubt, Wenger wants his team to be fully dedicated.
He said: "It's a very, very important tie for us, because we want to be in the group stage the next day.
"I have big experience in the Champions League - I have over 150 games - and I know if you want to knock somebody out you need attitude and commitment or you don't do it. That is what is at stake for us.
"We want to finish the job. We have a decent advantage, but we want to get over the line."
While Arsenal are almost there, 2011 semi-finalists Schalke travel to face PAOK with their progression under threat.
A 1-1 draw in the first leg in Germany has given the Greek club, coached by former Schalke boss Huub Stevens, a slight advantage to take with them into Tuesday night's return.
However, Schalke have no intention of playing Europa League football next season.
"We're here to win this game," said the Royal Blues' director of sport Horst Heldt.
"We've got to minimise our mistakes and take our chances, delivering on our potential for the entire 90 minutes."
Schalke defender Tim Hoogland added on the club's website: "In our situation, we've got to fight.
"It's up to all of us now, even those who have been in the background a little and now get the chance to prove themselves. We're going to Salonika to win."
Jefferson Farfan, who was carried off at the end of the first leg, is expected to be fit while Joel Matip and Leon Goretzka could also be available after recovering from knocks.
PAOK coach Stevens, who was once voted by Schalke fans as their coach of the century, is not going to do his former club any favours.
"Schalke are under pressure, not us," he said at a press conference. "They have got to go through whereas we would just like to."
Austria Vienna enter their home tie with Dinamo Zagreb in the driving seat following a 2-0 win in Croatia.
Marin Leovac and Marko Stankovic scored the goals in the final 22 minutes of the contest.
Dinamo finished with 10 men, with Ante Rukavina sent off, in an evening which saw coach Krunoslav Jurcic relieved of his duties after the final whistle.
For Dinamo defender Lee Addy the tie is by no means over and he vowed the team are ready for battle.
He told Vecernji.hr: "We do not want to disappoint the fans, we're going to fight for the club and the Croatian people.
"We want to represent Croatia in the Champions League and tomorrow we fight for Croatia."
The match between Legia Warsaw and Steaua Bucharest is finely poised after the teams drew 1-1 in Romania.
Basle look very much in control of their play-off having triumphed 4-2 at Ludogorets Razgrad.