And the Gunners have scored in each of their last 45 top-flight games, beating the record of 44 set by Manchester City 66 years ago.
Said Wenger: "There is a very big desire in this team to do well in Europe. That is in me as well.
"We will give everything to win it, but it's the best teams in Europe. But I am positive and I think we will do it.
"We want to do it. Starting next Tuesday night against Borussia Dortmund, let's do it.
"Do you think I go into any competition thinking I cannot win it? No chance.
"We know it's difficult but we have the belief and the quality. The rest is down to performances.
"We have two or three years in front of us where we can do it. They can only get better as we are a young side. If we do it this year, we can repeat it!"
Success in Europe would represent a significant personal milestone for Wenger. "I want to win the Champions League. I have already lost a Cup Winners' Cup final and a Uefa Cup final.
"The best chance of winning the Champions League is to win the Premier League. You feel stronger when you're doing well in your own league."
