The Rossoneri currently lead Juventus at the top of Serie A, with Massimiliano Allegri's men looking to make up for last season's defeat at the same stage of the competition to Tottenham by dumping the Gunners out of Europe.
Arsenal go into Wednesday's first leg of their last 16 tie on the back of successive Barclays Premier League wins which have propelled them back up into the top four.
Wenger, whose side recorded a famous 2-0 win on their last visit to Stadio Giuseppe Meazza against the then holders four seasons ago, maintains the Gunners mean business.
"If I would think we have no chance to win the game I would stay at home. I don't like to waste my time," the Arsenal manager declared.
"I believe what makes football interesting is that you can win everywhere.
"We have shown we can win everywhere and I have full confidence in this team that we can do it."
"We will try to play our game. Milan are a good side. We think we are a good side.
"We will attack, they certainly will as well. So it should be a good game."
Wenger accepts Arsenal are in a defining period of their campaign, with an FA Cup fifth round tie at Sunderland following on Sunday.
He continued: "We are concentrated on every game we play. We do not choose the games.
"We are Arsenal Football Club and we just try to win the next game.
"Is it FA Cup, Champions League or Championship? I believe it is important we are strong everywhere."
Wenger is expected to field an attacking side on Wednesday, which will probably include livewire England under-21 international Alex Oxlade-Chamberlain.
Arsenal will have to shackle the threat of experienced Sweden striker Zlatan Ibrahimovic, who is serving a domestic ban for a red card against Napoli.
The 30-year-old netted a brace against the Gunners at Emirates Stadium when he played for Barcelona in their Champions League quarter-final two seasons ago.
Centre-back Thomas Vermaelen will again look to shackle the 6ft 3in frontman, whom he went up against at close quarters as a youngster when at Ajax.
"When I was playing regularly, he had left already, but I had a lot of sessions with him when I was a young player," said the 26-year-old Belgian international.
"I know his qualities, like everybody does. He is a strong and technical player, one of their main players, it is up to us as defenders to keep him quiet tomorrow [Wednesday]."
Wenger, meanwhile, revealed he was hopeful over Jack Wilshere's recovery as the England midfielder battles to be fully fit from a niggling ankle problem which has sidelined him all season.
"His scan was good but patience will be needed as we have to be cautious with him," the Arsenal manager said.
"His stress fracture is going well, as quickly as it can heal, but nature has its paces as we have to respect that.
"We have to be cautious with him and not rush him back this time."
Wenger added: "I know you want him for England, but I hope he can play a couple of games for us before the end of the season."
Milan boss Massimiliano Allegri knows Wednesday's match up will be as big a test as the Spurs clash, but will have his Serie A leaders well prepared to combat Arsenal's flowing game.
"Technically we have to play well and know that there are certain errors [from last season against Tottenham] which ultimately should not be repeated," the AC Milan manager told a news conference.
"Last year we made one mistake late against Tottenham, tomorrow [Wednesday] we have great patience and careful, otherwise you complicate everything.
"In the second match against Tottenham, we deserved to win and go through."