The Gunners host Blackburn in the fifth round of the FA Cup in the first of a run of games which will see them tackle the German giants while also facing Barclays Premier League rivals Tottenham and Everton in what could prove to be crucial for their hopes of breaking back into the top four.
When Arsenal return from the Allianz Arena on March 13, the outlook of their campaign could be still on course for success or with little other than wounded pride left to play for.
"You go into the period at the end of February and March when every game will define your season," said Wenger.
"The FA Cup is an important target for us. We always take it very seriously, we are on a good run and we want to continue the run."
Wenger added: "We have a big game on Tuesday against Bayern. If we get past them, then why should we not go further and win it?
"It looks at the start that the FA Cup (trophy) 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."