The Gunners face Manchester United at Old Trafford on Sunday, with the two teams eyeing up third and fourth place in the standings.
The prize for ending up third is to avoid to the dreaded two-legged pre-qualifying tie in August and an automatic spot in the group stages of the Champions League.
“At the moment we are focused on finishing as high as we can and finishing the season well,” Wenger said.
???After that we will deal with the consequences. We know we are in the top four. We know we can do better, so let’s go for it.
“At the end of the day, the team who finishes fifth would love to have that tension (of a qualifying tie), so we cannot complain.
“We have had to deal with that for a few years now and if we can get straight into the competition it would be better.
“You have more chance to lose the (European) game than to win it, so sometimes you pay the price in the Premier League.”
And for the team that finishes fourth in the table, pre-season training starts earlier.
“The players have to come back a bit earlier, a few days perhaps, sometimes a week, so especially it means less holidays for the international players
“Last year for example we played against Besiktas and Mesut Ozil was still on holiday and Per Mertesacker, because they were on their holidays (after the World Cup).
“If we give Sanchez four weeks’ holiday (after the Copa America), he will not be available, so we will see and we will adapt.”
Wenger also believes United will be a force again next season and had this to say about van Gaal.
“You have to know the players and sometimes it takes a little time to find the balance,” Wenger added.
“It is not only the quality of the individuals. You have to know how well they marry together. Sometimes players go through confidence problems for a while, but Manchester United have quality players.”