The Gunners' 16th successive season in the group stage kicks off on Wednesday evening on the French south coast, where familiar foes Marseille lie in wait at the Stade Velodrome.
It is a tough start to what looks set to be an intriguing battle for the knockout stages, with Rafael Benitez's Napoli and last year's runners-up Borussia Dortmund the others vying to progress from Group F.
Arsenal have not fallen at this hurdle since the 1999/2000 season, but Wenger knows this year will be harder than many previous.
"If you look at the group, I would say yes it is the hardest group because all the four teams have a chance to qualify," he said.
"That means the every game is basically a very important one.
"On average you need 10 points to qualify so that gives you the task - 10 points in a group is difficult as that could be a reasonable number to get through.
"[Away games] will play a big part because it is difficult to predict that you will absolutely win your three home games.
"But anyway, you need points away from home and as you know, like in every competition, the start is very important for the confidence of the team and to put you in a good position so tomorrow we start.
"Is it home or away? It is the same, basically, we come here and we will try to win the game."
The chances of their campaign starting with three points look to have been dramatically boosted by the news Mesut Ozil and Olivier Giroud are available.
Ozil, signed to much fanfare on transfer deadline day, travelled to Marseille after struggling with tight muscles following his superb debut in Saturday's 3-1 win at Sunderland.
Giroud, who suffered a knee injury at the Stadium of Light, has also been passed fit, but Arsenal's squad still looks threadbare.
A lengthy injury list including Santi Cazorla, Alex Oxlade-Chamberlain and Lukas Podolski means teenagers Isaac Hayden and Chuba Akpom have had to travel as part of Arsenal's 18-man party.
"The situation of the other players is we had some small knocks but for tomorrow they look okay," Wenger said.
"But of course I am concerned because from now they play for two months every three or four days and it's important we get some players back because you cannot play for the next two months with the squad we have at the moment."
Marseille boss Elie Baup admits Arsenal have the better players, but reckons his side can win if they stick together.
"We know that we have to show the courage, have to invest ourselves," he said.
"Individually they have better players, but we have to be a strong team.
"When a club can pay 50million Euros for a player like Ozil and bring such a quality player, it is very good for them.
"But I think we have recruited well, brought in some young players and we're trying to build something for the short and mid-term.
"We have some experienced players that can teach these young players and build for the future.''
The match will be a welcome return to Champions League action for Marseille, having last season missed out on the competition for the first time in five years.
"We were frustrated last year when we did not play Champions League football, so we are looking forward to returning," captain Steve Mandanda said.
"These games are magnificent to play in and we are delighted to be back in this competition. We missed it."