The FA Cup offers Arsenal their best chance of silverware this season and Wenger has already won the trophy four times.
Wenger said: "It is important because people will look at us, how we respond to a challenge like the FA Cup. We wanted to do well in the Capital One Cup. After what happened (at Bradford), of course it's important for us to show we are ready and motivated.
"It is important to go for every trophy we can. It is not the only trophy. We are in the Champions League. I know you have already kicked us out but we will surprise you against Bayern Munich!
"We will take it seriously. You know I won four times the FA Cup because I take the competition seriously."