The Gunners host Blackburn in the fifth round of the FA Cup on Saturday, just a few days before the first leg of their European clash against Bayern at the Emirates Stadium.
Bayern were runners-up to Chelsea last season and are currently 15 points clear at the top of the Bundesliga, having not lost since October 28. They have returned from the winter break with four straight league wins.
Wenger feels should his men come through such a challenge, then just like Chelsea, confidence would grow of a first European Cup triumph.
"You go into the period at the end of February and March when every game will define your season," said Wenger.
"We have a big game on Tuesday against Bayern. If we get past them, then why should we not go further and win it?" Wenger said on Friday.
"It looks at the start that (winning) the FA Cup is more reachable than any other competition, but you don't really know how difficult it will be.
"If you compare it to the Premier League certainly, we have more chances to do it because we are too far away in the Premier League."
Despite the obvious draw of next week's prestigious European fixture, Wenger maintains his side will be fully focused to see off the challenge of Blackburn and secure safe passage into the quarter-finals of the world's oldest knockout competition.
"The FA Cup is an important target for us. We always take it very seriously, we're on a good run and we want to continue the run," said Wenger, whose side have closed back up on the Barclays Premier League top four after back-to-back victories.
"We are the favourites, they're the outsiders, and have nothing to lose.
"However, if you look at who is in the squad, many of their players have Premier League experience, that is why they are dangerous."
"I always have to convince you that we take the competition seriously," he said.
"In 16 years I don't think we had (many) upsets against lower division teams, that shows that we take the competition seriously.
"We prepare for the game like a final every time, and that's why we have done reasonably well until now.
"We will take the game seriously again, and with a huge desire to win it."
Arsenal have fitness concerns over England midfielder Jack Wilshere, who went off at Sunderland last week as a precaution over a thigh problem.
Wenger said: "I will not take a risk. [That is because of] the rest of the season in mind and what happened to him before."
Captain Thomas Vermaelen should be back from his ankle problem, but fellow defender Laurent Koscielny (calf) will be assessed.
Ivory Coast forward Gervinho could be back in contention following the African Nations Cup.
"We will play a team who has a good chance to go through with experienced players," said Wenger.
"We only have big names in our squad, so it will be a team of big names, for sure."
One name not on the team-sheet, however, will be Andre Santos after the Brazilian full-back returned to his homeland on loan with Gremio.
Wenger maintains Santos could yet feature for the Gunners again.
"Santos moved because he'd lost a bit of confidence and he needs to play," said Wenger, who swooped for Spain international Nacho Monreal on deadline day.
"He is a very good football player, but didn't get enough games.
"Santos is more at ease in my opinion on the left of midfield, where there is a lot of competition.
"He will be back at the end of July, and of course he can have a future at Arsenal, but that depends as well on the ins and outs during the summer."
Wenger is continually asked whether he would rather end a trophy drought which stretches back to the 2005 FA Cup, or secure qualification for the Champions League once again. His answer is always the same.
"The basic target is the Premier League," he said.
"The real consistency of the team is the quality and the quality is judged over 38 games. That is why I believe the real assessment of the quality of the team is the Premier League."