The Gunners must beat Olympiacos in Greece to progress to the last 16 on Wednesday.
The Gunners face a crunch game with Olympiacos on Wednesday evening, needing a win to secure their passage to the last 16.
They must win by two goals, or win by a one-goal margin and score three times if they are to advance from Group F having lost three of their five games in the group.
Wenger though, says they can be a dangerous to any side if they do progress, as they have shown they can overcome difficult situations before now.
“We can be dangerous if we go through because we come from far,” he told arsenal.com.
“At the moment we have two or three super-favourites [for the competition] and whoever gets through will have to chase them.
"As long as you don't win the competition – at any stage to go out is bad. That is basically it. On the other hand, we have gone 15 times out of the group consecutively so you could say that is a good habit.”
Given how Arsenal have performed in the Champions League this season, it is unlikely that most of the big sides would fear them in the latter stages.
They may have beaten Bayern Munich at the Emirates, but the hammering they received in Germany showed that result to have been more of a one off than anything.
With injuries having decimated their squad as well, that would make progressing even further unlikely against one of the favourites in the latter stages.
For now though, they must focus on beating Olympiacos before worrying about potential fixtures down the line.