The French coach, who leaves the London club after 22 years in charge this summer, has to complete a daunting task to defeat Atletico Madrid in their own stadium, where they have not conceded a goal all year.
Add to that the fact this is the only way for Wenger to leave Arsenal to his successor as a Champions League club and it comes down to one of the biggest matches in the highly decorated manager’s long career.
Wenger tried to play down the status of the tie after last week’s 1-1 home draw, but admitted he is feeling the tension.
He said: “I always say the next one is always the most important, but this is massive because it influences the future of my club.
“It is a very, very big game for us, because the future of Arsenal football club is not exactly the same, if we qualify for the Champions League or not.
“There is always a part of tension, more tension than nerves, but a desire to win.
“With the experience I have I know there is uncertainty about football that creates tension, that is normal. What you want is to help your team to have much certainty as possible and belief, but look at the other European games and we see anything can happen. That makes football great, as well, because it is unpredictable.”
The problem for Wenger and his players is not just Madrid’s incredible defensive home record, but also the return to fitness of their nemesis Diego Costa, the Spanish striker who tormented them when he was at Chelsea.
Wenger added: “In history, he has shown he can make the difference. Costa, when he played in England, was very successful. It is our job to keep him quiet, but maybe the best way to do that is to play more in the half of Atletico Madrid.”
Asked how he intended to approach the game, he was clinically clear that he would go down fighting if his 250th European match proves to be his last.
With Atletico able to progress with a goalless draw, he stated: “The target is to get to 251, but I believe we are in a city where we have a good history in Europe. We know we need to score.
“We have a clear demand in our heads. We need to have a positive way, but will Atletico do the same? Will they have a more cautious approach and try to get us on the break? We have to be prepared for this as well.”
Wenger discussed his plans in front of a huge international media audience flanked by Colombian keeper David Ospina, who he announced will start the match ahead of Petr Cech.
Ospina said: ‘We know Atletico well and they try to get this South American will to win, but we are here to do a job, as we have done so far in the Europa League, and now we have to show we can do it again.”
Ospina and his team-mates Arsenal trained at their London Colney base yesterday morning ahead of flying out to Madrid.
The mood was light-hearted and upbeat, with former Arsenal star Robert Pires joining in the session.
It also featured Manchester united signing Henrikh Mkhitaryan, fit again after missing the first leg.
Alex Lacazette, Nacho Monreal, Laurent Koscielny, Shkodran Mustafi, Aaron Ramsey, and Mesut Ozil all trained after being rested against Manchester United on Sunday. Pierre-Emerick Aubameyang is cup-tied.
Wenger has, of course, been linked with managing Real Madrid many times in the last two decades, but insisted he did not want to indulge in speculation over his future with such a big fixture to face.
He explained: “I do know what I will do [after I leave Arsenal]. I think it is very important to do as well as I can for Arsenal above everything now.
“A man has to give his best for as long as he works somewhere and then walk out having done well.
“That is why I am still focused on Arsenal and I want the love story to end well.”