England midfielder Jack Wilshere scored both goals against Group F whipping boys Marseille 2-0 at the Emirates Stadium, and the Gunners, following Borussia Dortmund's 3-1 home win over Napoli, now just need to avoid a three-goal defeat when they travel to Italy next month to qualify with a draw securing top spot and with it seeding for the knockout stages
Wenger, though, will take nothing for granted.
He said: "It is unbelievable, (not to have qualified yet with 12 points), but it is reality. We have to finish the job.
"It is not an easy situation - it is a tricky situation because you can think, 'Okay, let's just not lose big' but I think that would be a mistake.
"[We need to] go there, play in a positive way and try to win the game. Everything else would be a dangerous gamble.
"Having said that, Marseille will play the last game at home to Dortmund - they haven't lost [that game] yet. They will have to turn up. They will be under pressure to at least take some points from this group stage."
Arsenal had swept into the lead after just 28 seconds when Wilshere broke clear and cut back inside to smash the ball past Steve Mandanda.
The Marseille goalkeeper then saved from Aaron Ramsey at point-blank range, but Arsenal should have been further ahead just before the break when Mesut Ozil's weak penalty was palmed away.
Eventually, Arsenal's pressure in the second half told as Wilshere swept home Ozil's pass on 65 minutes.
Marseille - who had lost all four European ties so far - did mount a brief rally, with substitute Florian Thauvin having a shot cleared off the line by full-back Nacho Monreal, in for the ill Kieran Gibbs, and was also denied by a good save from Arsenal goalkeeper Wojciech Szczesny.
Arsenal substitutes Santi Cazorla blazed over from 10 yards and then Theo Walcott stabbed wide when clear through, but the result was already secure for the Barclays Premier League leaders.
Wilshere showed no signs of any fatigue with an all-action display at the heart of the Gunners side.
"I liked his first goal because before he would rush a little bit," said Wenger. ''He is starting to think, 'What (Aaron) Ramsey can do, I can do as well', the first goal shows that."
The Arsenal boss praised his side's patience after their flying start. He said: ''We were in control of the game overall and I never really felt that we were under threat.
''Sometimes we were missing the cutting edge to finish the game off early on, but we were so much in control that we felt that would come. It came a little bit late for my taste, but it came.''
Wenger refused to condemn Ozil, the club's record £43million signing, for seeing what was a somewhat lazy penalty effort saved.
"Everyone can miss a penalty," Wenger said. "His run up to the ball was short, but that's the way he takes them.''
The Gunners boss, though, was unhappy that midfielder Mathieu Flamini had cut the sleeves of his jersey short.
''I was surprised, he won't do that again," he said.
Marseille coach Elie Baup, meanwhile, admitted his men had again been second best in Europe.
He said: "This game was a continuation of our other matches of the Champions League, with a very high level of demand.
"Against the top teams, we should have been more aggressive, but from the group draw, we always knew it would be difficult."