The Gunners host Rafael Benitez's side looking to record a second win in Group F which would put them in a strong position before the double-header with last season's beaten finalists, Borussia Dortmund.
With Arsenal now looking set to challenge again following the club-record £43million signing of Mesut Ozil which has helped them climb to the top of the Premier League, Wenger believes confidence of that elusive European title could grow with continued progress.
"It is something I miss that I will try to fight very hard to fill my CV with," said Wenger, whose last taste of silverware was the 2005 FA Cup.
"But you play against Barcelona, Bayern (Munich), Real Madrid - every year they are there with a chance.
"You always think 'let's do it' every year, and one year it will go for you, so let's hope it will be this year. The competition is higher than ever."
Wenger added: "If we get out of the group I would say we have a chance (to win the trophy) - but what we have to show is that we have the strength.
"It is difficult to predict because after the group stage, it is a cup (competition) and then it is about who is available who is fit and who isn't, you cannot plan."
Wenger has played down talk of his side already being in the driving seat for the Premier League title as "absolutely ridiculous".
Asked, though, if there was any weighting on domestic or European glory, and the Gunners boss replied. "You don't choose like that. You just want to do well.