As attention turns to Wednesday's Champions League clash with AC Milan, the Gunners boss has called for bravery in his side's attacking approach at the San Siro.
With away goals often proving crucial in these two-legged European ties, Wenger says scoring is high on the agenda against the reigning Serie 'A' champions.
"You always have to push for a goal when you play away in the first leg because it gives you a cushion for the second leg," he told Arsenal's official website. "We will try to score, of course – we always do.
"The system rewards the audacious away from home. The way it is with the away goal, you have to be focused to score and therefore it is important that you play your game."
With memories of Arsenal's historic 2-0 win over the Rossoneri in the same competition back in 2008 still fresh in fans' minds, the travelling support from north London will be hoping for another positive result on their return to Italy this week.
Goals from Cesc Fabregas and Emmanuel Adebayor was enough to clinch an impressive victory for the Gunners on the night, as Wenger recalls: "I felt it was such a great night because we stayed faithful to our game and played without complexity.
"I remember that even Milan said the better team won. So let's keep that in our memory and repeat the same performance.
"We have had quite a few good performances away in the Champions League over the years, and we are very proud of them. We won in Madrid in 2006, 5-1 at Inter Milan in 2003, and the 2-0 win against AC Milan in 2008.
"When you look back and remember, you realise that we have won at almost every big stadium in Europe. Yes, we have not won in Barcelona, where we have played a draw, but overall I think we have won everywhere."