The Gunners head into the qualifying play-off first leg in Istanbul on Wednesday knowing that failure to emerge triumphant after the two matches of the tie will see them fail to feature in the competition's group stage for the first time in 16 seasons.
And aside from that context, Wenger is also looking for a swift response from his men following Saturday's home 3-1 Barclays Premier League defeat to Aston Villa.
Regarding the Fenerbahce tie, the Frenchman told Arsenal Player: "Of course (they are the most important games of the season).
"We fought very hard last season to be in the top four and this game has a vital importance.
"On the back of our defeat against Aston Villa, it's important as well to bounce back straight away.
"To be part of the top level - that is for us the most important thing.
"When you are a football player, you want to play at the top level and that's what the Champions League is about.
"We try to win everywhere we go. That is the only target we have to set ourselves.
"We respect Fenerbahce highly but in the history of our club we have gone everywhere, all over, and always had a desire to win and that is what we will do again."
Schalke's play-off first leg sees them take on Greek side PAOK Thessaloniki in Gelsenkirchen.
The Germans had originally been set to face Metalist Kharkiv, but UEFA last week announced the Ukrainian club had been disqualified from European competition for the 2013-14 season following a match-fixing investigation.
There are three other play-off first-leg matches taking place on Wednesday night, with Dinamo Zagreb hosting Austria Vienna, Ludogorets Razgrad entertaining Basle and Steaua Bucharest playing Legia Warsaw at home.